Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models

DOI10.2143/AST.35.1.583169zbMath1123.62078MaRDI QIDQ5490582

David A. Stanford, Florin Avram, Lothar Breuer, Guy Latouche, Andrei L. Badescu, Ana Da Silva Soares

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

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Cites Work

• Unnamed Item
• Simple approximations of ruin probabilities
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• The deficit at ruin in the stationary renewal risk model