On corrected phase-type approximations of the time value of ruin with heavy tails

DOI10.1515/STRM-2019-0009zbMath1436.62069OpenAlexW2991241658MaRDI QIDQ2291759

Daniel J. Geiger, Akim Adekpedjou

Publication date: 31 January 2020

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2019-0009

zbMATH Keywords

tail asymptoticstime value of ruincorrected phase-type approximationsdependent risk modelsGerber-shiu expected discounted penalty functionsheavy-tailed claim size distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Approximations to statistical distributions (nonasymptotic) (62E17) Risk models (general) (91B05)

Related Items (1)

Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails

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