Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
E. Vatamidou; I. J. B. F. Adan; M. Vlasiou; B. Zwart
| Year of publication: |
2013
|
|---|---|
| Authors: | Vatamidou, Eleni ; Adan, Ivo ; Vlasiou, Maria ; Zwart, Bert |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 2, p. 366-378
|
| Subject: | Ruin probability | Heavy-tailed claim sizes | Error bounds | Tail asymptotics | Relative errors | Value at risk | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomodell | Risk model | Statistischer Fehler | Statistical error | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010195917