On corrected phase-type approximations of the time value of ruin with heavy tails (Q2291759)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On corrected phase-type approximations of the time value of ruin with heavy tails |
scientific article |
Statements
On corrected phase-type approximations of the time value of ruin with heavy tails (English)
0 references
31 January 2020
0 references
corrected phase-type approximations
0 references
time value of ruin
0 references
Gerber-shiu expected discounted penalty functions
0 references
heavy-tailed claim size distributions
0 references
tail asymptotics
0 references
dependent risk models
0 references
0 references
0 references
0 references
