Ruin probabilities of a continuous-time Sparre Andersen model with inter-claim times distributed as discrete phase-type (Q5498024)
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scientific article; zbMATH DE number 6401986
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| English | Ruin probabilities of a continuous-time Sparre Andersen model with inter-claim times distributed as discrete phase-type |
scientific article; zbMATH DE number 6401986 |
Statements
11 February 2015
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Sparre Andersen model
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discrete phase-type
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ruin probability
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Lundberg bound
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Cramér-Lundberg approximation
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0.8949560523033142
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0.8532820343971252
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0.8408406376838684
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0.8408406376838684
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0.8392834663391113
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