On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes (Q2514605): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.08.005 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1972081426 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An operational calculus for probability distributions via Laplace transforms / rank
 
Normal rank
Property / cites work
 
Property / cites work: The least variable phase type distribution is erlang / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sparse approximation of functions using sums of exponentials and AAK theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computational methods in risk theory: a matrix-algorithmic approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite time ruin probabilities with one Laplace inversion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Matching Three Moments with Minimal Acyclic Phase Type Distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk theory for the compound Poisson process that is perturbed by diffusion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modeling probability densities with sums of exponentials via polynomial approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The time to ruin and the number of claims until ruin for phase-type claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: Simple approximations of ruin probabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Matching moments to phase distributions: Mixtures of erlang distributions of common order / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4345864 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Higher moments of the waiting time distribution in M/G/1 retrial queues / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large deviations of the waiting time in the GI/G/1 queue with random order service / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introductory lectures on fluctuations of Lévy processes with applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Natural exponential families of probability distributions and exponential-polynomial approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3923308 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parameter estimation for nonincreasing exponential sums by Prony-like methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4489978 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Output models of MAP/PH/1(/K) queues for an efficient network decomposition / rank
 
Normal rank

Latest revision as of 16:05, 9 July 2024

scientific article
Language Label Description Also known as
English
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
scientific article

    Statements

    On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes (English)
    0 references
    0 references
    0 references
    3 February 2015
    0 references
    0 references
    Pollaczek-Khinchine formula
    0 references
    incomplete information
    0 references
    matrix exponential distributions
    0 references
    Padé approximation
    0 references
    perturbed Cramér-Lundberg process
    0 references
    De Vylder's approximation
    0 references
    0 references
    0 references
    0 references
    0 references