Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis (Q2513594)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis |
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Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis (English)
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28 January 2015
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ruin probability
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heavy-tailed claim sizes
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error bounds
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tail asymptotics
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relative errors
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value at risk
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