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Search: subject:"phase-type approximations"
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Corrected phase-type approximations
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Dividend
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Dividende
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Gerber–Shiu expected discounted penalty functions
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Markov chain
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Markov-Kette
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dependent risk models
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dividend maximisation
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heavy-tailed claim size distributions
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phase-type approximations
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piecewise deterministic Markov process
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quasi-Monte Carlo methods
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tail asymptotics
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time value of ruin
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Adekpedjou, Akim
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Geiger, Daniel J.
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Leobacher, Gunther
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Szölgyenyi, Michaela
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Scandinavian actuarial journal
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Statistics & Risk Modeling
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ECONIS (ZBW)
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On corrected
phase-type
approximations
of the time value of ruin with heavy tails
Geiger, Daniel J.
;
Adekpedjou, Akim
- In:
Statistics & Risk Modeling
36
(
2019
)
1-4
,
pp. 57-75
interclaim times and premiums depending on the claim sizes. We apply a technique known as “corrected
phase-type
approximations
…
Persistent link: https://www.econbiz.de/10014621277
Saved in:
2
Approximation methods for piecewise deterministic Markov processes and their costs
Kritzer, Peter
;
Leobacher, Gunther
;
Szölgyenyi, Michaela
; …
- In:
Scandinavian actuarial journal
2019
(
2019
)
4
,
pp. 308-335
Persistent link: https://www.econbiz.de/10012194953
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