On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes

Padé rational approximations are a very convenient approximation tool, due to the easiness of obtaining them, as solutions of linear systems. Not surprisingly, many matrix exponential approximations used in applied probability are particular cases of the first and second order “admissible Padé approximations” of a Laplace transform, where admissible stands for nonnegative in the case of a density, and for nonincreasing in the case of a ccdf (survival function).

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Year of publication:	2014
Authors:	Avram, F. ; Pistorius, M.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 59.2014, C, p. 57-64
Publisher:	Elsevier
Subject:	Pollaczek–Khinchine formula \| Incomplete information \| Matrix exponential distributions \| Padé approximation \| Perturbed Cramér–Lundberg process \| De Vylder’s approximation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011116646