On the accuracy of phase-type approximations of heavy-tailed risk models (Q4576866): Difference between revisions

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Latest revision as of 02:02, 16 July 2024

scientific article; zbMATH DE number 6901175
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English
On the accuracy of phase-type approximations of heavy-tailed risk models
scientific article; zbMATH DE number 6901175

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    On the accuracy of phase-type approximations of heavy-tailed risk models (English)
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    11 July 2018
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    ruin probability
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    heavy-tailed claim sizes
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    completely monotone distribution
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    spectral function
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    hyperexponential distribution
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    error bounds
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