Erlangian approximation to finite time ruin probabilities in perturbed risk models

DOI10.1080/03461230903421492zbMath1277.60128MaRDI QIDQ2866277

David A. Stanford, Jiandong Ren, Kaiqi Yu

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://drops.dagstuhl.de/opus/volltexte/2008/1399/

zbMATH Keywords

phase-type distribution; Erlangization; fluid flow models; finite time ruin probability; perturbed risk processes

Mathematics Subject Classification ID

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

60K05: Renewal theory

60J28: Applications of continuous-time Markov processes on discrete state spaces

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Cites Work

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