Erlangian Approximations for Finite-Horizon Ruin Probabilities
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Cites work
- scientific article; zbMATH DE number 3942890 (Why is no real title available?)
- scientific article; zbMATH DE number 3668767 (Why is no real title available?)
- scientific article; zbMATH DE number 3763004 (Why is no real title available?)
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- A multi-dimensional martingale for Markov additive processes and its applications
- Matrix‐analytic Models and their Analysis
- Phase-type representations in random walk and queueing problems
- Simple approximations of ruin probabilities
- Stationary distributions for fluid flow models with or without brownian noise
- The least variable phase type distribution is erlang
Cited in
(80)- Parisian ruin with Erlang delay and a lower bankruptcy barrier
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- On the compound Poisson risk model with periodic capital injections
- A risk model based on Markov chains with marked transitions
- The surplus prior to ruin and the deficit at ruin for a correlated risk process
- Periodic threshold-type dividend strategy in the compound Poisson risk model
- Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
- Bayesian estimation of finite time ruin probabilities
- Approximation of ruin probabilities via Erlangized scale mixtures
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
- Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
- An insurance risk model with Parisian implementation delays
- Computing the exponential of large block-triangular block-Toeplitz matrices encountered in fluid queues
- Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier
- Approximations for time-dependent distributions in Markovian fluid models
- Erlangized Fluid Queues with Application To Uncontrolled Fire Perimeter
- Risk processes analyzed as fluid queues
- A Review on Phase-type Distributions and their Use in Risk Theory
- Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
- The Density of the Time to Ruin in the Classical Poisson Risk Model
- The Erlangization method for Markovian fluid flows
- The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
- On the optimality of joint periodic and extraordinary dividend strategies
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
- The Markov additive risk process under an Erlangized dividend barrier strategy
- Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
- SIR-type epidemic models as block-structured Markov processes
- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
- A two-dimensional ruin problem on the positive quadrant
- A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
- Finite time ruin probabilities with one Laplace inversion.
- Russian and American put options under exponential phase-type Lévy models.
- On geometric-type approximations with applications
- Approximations for Finite Horizon Ruin Probabilities in the Renewal Model
- Double-sided queues and their applications to vaccine inventory management
- Optimal dividends under Erlang(2) inter-dividend decision times
- Moments and polynomial expansions in discrete matrix-analytic models
- From PH/MAP to ME/RAP
- Risk processes with interest force in Markovian environment
- On a class of approximations for ruin and waiting time probabilities
- A Fourier-cosine method for finite-time ruin probabilities
- On the profitability of selfish blockchain mining under consideration of ruin
- Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
- Matrix structures in queuing models
- On Erlangization and extrapolation, with applications to financial regime-switching Lévy models
- On the randomized Schmitter problem
- The running maximum of a level-dependent quasi-birth-death process
- An adaptive premium policy with a Bayesian motivation in the classical risk model
- Optimal dividend strategy under Parisian ruin with affine penalty
- Ruin probability for finite Erlang mixture claims via recurrence sequences
- A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process
- Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention
- Ruin probabilities for Erlang (2) risk processes
- Erlangian Approximations for the Transient Analysis of a Fluid Queue Model for Forest Fire Perimeter
- Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
- The moments of the time of ruin in Markovian risk models
- Analysis of a generalized penalty function in a semi-Markovian risk model
- Wiener-Hopf factorization, Erlangization and transient solutions in some Markov-modulated queueing models
- On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions
- Ruin probabilities in an Erlang risk model with dependence structure based on an independent gamma-distributed time window
- Approximating Matrix-Exponential Distributions by Global Randomization
- Erlangian approximation to finite time ruin probabilities in perturbed risk models
- Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- Padé approximants for finite time ruin probabilities
- An approximation to the distribution and the moments of the number of events in Markovian arrival processes
- On a perturbed compound Poisson model with varying premium rates
- Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
- Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication
- On finite-time ruin probabilities with reinsurance cycles influenced by large claims
- Parisian types of ruin probabilities for a class of dependent risk-reserve processes
- Spectrally negative Lévy risk model under Erlangized barrier strategy
- A note on a Lévy insurance risk model under periodic dividend decisions
- Dependent Risk Models with Bivariate Phase-Type Distributions
- Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
- On the dual risk model with Parisian implementation delays in dividend payments
- A Direct Approach to a First-Passage Problem with Applications in Risk Theory
- Erlang risk models and finite time ruin problems
- Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty
- A threshold-based risk process with a waiting period to pay dividends
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