Approximation of ruin probabilities via Erlangized scale mixtures
Oscar Peralta, Leonardo Rojas-Nandayapa, Wangyue Xie, Hui Yao
| Year of publication: |
January 2018
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|---|---|
| Authors: | Peralta, Oscar ; Rojas-Nandayapa, Leonardo ; Xie, Wangyue ; Yao, Hui |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 78.2018, p. 136-156
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| Subject: | Phase-type | Erlang | Scale mixtures | Infinite mixtures | Heavy-tailed | Ruin probability | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.12.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011825250