A Functional Approach for Ruin Probabilities

DOI10.1080/15326340600820539zbMath1133.91034MaRDI QIDQ5446505

Konstadinos Politis

Publication date: 6 March 2008

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340600820539

zbMATH Keywords

sensitivity; Fréchet differentiability; phase-type distribution; ruin probability; classical risk model

Mathematics Subject Classification ID

60K05: Renewal theory

Related Items

Approximations for the moments of ruin time in the compound Poisson model

Cites Work

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