On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes

DOI10.1016/j.insmatheco.2014.08.005zbMath1306.91068OpenAlexW1972081426MaRDI QIDQ2514605

Florin Avram, Martijn R. Pistorius

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.08.005

zbMATH Keywords

Padé approximationincomplete informationmatrix exponential distributionsPollaczek-Khinchine formulaDe Vylder's approximationperturbed Cramér-Lundberg process

Mathematics Subject Classification ID

Related Items (2)

Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails

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