On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
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Publication:2514605
DOI10.1016/j.insmatheco.2014.08.005zbMath1306.91068MaRDI QIDQ2514605
Florin Avram, Martijn R. Pistorius
Publication date: 3 February 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.08.005
Padé approximation; incomplete information; matrix exponential distributions; Pollaczek-Khinchine formula; De Vylder's approximation; perturbed Cramér-Lundberg process
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