On the accuracy of phase-type approximations of heavy-tailed risk models (Q4576866)
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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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0.8575090765953064
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0.8531764149665833
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0.8477917313575745
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