Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis

DOI10.1016/j.insmatheco.2013.07.002zbMath1304.60099arXiv1404.6411OpenAlexW2019054457MaRDI QIDQ2513594

Eleni Vatamidou, Bert Zwart, Maria Vlasiou, Ivo J. B. F. Adan

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.6411

zbMATH Keywords

error boundsruin probabilitytail asymptoticsvalue at riskheavy-tailed claim sizesrelative errors

Mathematics Subject Classification ID

Related Items (6)

Corrected Phase-Type Approximations of Heavy-Tailed Queueing Models in a Markovian Environment ⋮ Approximation of ruin probabilities via Erlangized scale mixtures ⋮ Phase-type approximations perturbed by a heavy-tailed component for the Gerber-Shiu function of risk processes with two-sided jumps ⋮ On corrected phase-type approximations of the time value of ruin with heavy tails ⋮ Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

Uses Software

• QRM

Cites Work

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