On corrected phase-type approximations of the time value of ruin with heavy tails
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Publication:2291759
DOI10.1515/strm-2019-0009zbMath1436.62069OpenAlexW2991241658MaRDI QIDQ2291759
Daniel J. Geiger, Akim Adekpedjou
Publication date: 31 January 2020
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/strm-2019-0009
tail asymptoticstime value of ruincorrected phase-type approximationsdependent risk modelsGerber-shiu expected discounted penalty functionsheavy-tailed claim size distributions
Applications of statistics to economics (62P20) Approximations to statistical distributions (nonasymptotic) (62E17) Risk models (general) (91B05)
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