Erlangian Approximations for Finite-Horizon Ruin Probabilities

Processes with independent increments; Lévy processes (60G51) Markov renewal processes, semi-Markov processes (60K15) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Cited In (73)

An Approximation to the Distribution and the Moments of the Number of Events in Markovian Arrival Processes
Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs
Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention
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
On finite-time ruin probabilities with reinsurance cycles influenced by large claims
On the Profitability of Selfish Blockchain Mining Under Consideration of Ruin
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
Bayesian estimation of finite time ruin probabilities
Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
THE RUNNING MAXIMUM OF A LEVEL-DEPENDENT QUASI-BIRTH-DEATH PROCESS
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
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
Approximations for time-dependent distributions in Markovian fluid models
Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model
On the optimality of joint periodic and extraordinary dividend strategies
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
The Erlangization method for Markovian fluid flows
The Markov additive risk process under an Erlangized dividend barrier strategy
A Risk Model Based on Markov Chains with Marked Transitions
SIR-type epidemic models as block-structured Markov processes
Lyapunov exponents for branching processes in a random environment: the effect of information
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
Russian and American put options under exponential phase-type Lévy models.
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Optimal dividends under Erlang(2) inter-dividend decision times
Moments and polynomial expansions in discrete matrix-analytic models
From PH/MAP to ME/RAP
On a class of approximations for ruin and waiting time probabilities
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On the randomized Schmitter problem
An adaptive premium policy with a Bayesian motivation in the classical risk model
Optimal dividend strategy under Parisian ruin with affine penalty
A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process
Ruin probabilities for Erlang (2) risk processes
On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions
Approximating Matrix-Exponential Distributions by Global Randomization
ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS
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
Matrix Structures in Queuing Models
Randomized observation periods for the compound Poisson risk model: the discounted penalty function
Padé approximants for finite time ruin probabilities
On a perturbed compound Poisson model with varying premium rates
Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
Risk Processes with Interest Force in Markovian Environment
Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication
Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Dependent Risk Models with Bivariate Phase-Type Distributions
The Moments of the Time of Ruin in Markovian Risk Models
Spectrally negative Lévy risk model under Erlangized barrier strategy
A note on a Lévy insurance risk model under periodic dividend decisions
A Direct Approach to a First-Passage Problem with Applications in Risk Theory
On the dual risk model with Parisian implementation delays in dividend payments
Erlang risk models and finite time ruin problems
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
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
Parisian ruin with Erlang delay and a lower bankruptcy barrier
On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy

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