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  • Search: subject:"Perturbed Cramér–Lundberg process"
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Incomplete information 2 Matrix exponential distributions 2 Padé approximation 2 De Vylder's approximation 1 De Vylder’s approximation 1 Estimation theory 1 Perturbed Cramér-Lundberg process 1 Perturbed Cramér–Lundberg process 1 Pollaczek-Khinchine formula 1 Pollaczek–Khinchine formula 1 Probability theory 1 Schätztheorie 1 Stochastic process 1 Stochastischer Prozess 1 Wahrscheinlichkeitsrechnung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Pistorius, M. 2 Avram, F. 1 Avram, Florin 1
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Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes
Avram, F.; Pistorius, M. - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 57-64
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...
Persistent link: https://www.econbiz.de/10011116646
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Cover Image
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
Avram, Florin; Pistorius, M. - In: Insurance / Mathematics & economics 59 (2014), pp. 57-64
Persistent link: https://www.econbiz.de/10010469185
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