On the accuracy of phase-type approximations of heavy-tailed risk models

DOI10.1080/03461238.2012.729154zbMath1401.62215arXiv1404.6061OpenAlexW1978591401MaRDI QIDQ4576866

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

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.6061

zbMATH Keywords

error boundshyperexponential distributionspectral functionruin probabilityheavy-tailed claim sizescompletely monotone distribution

Mathematics Subject Classification ID

Related Items (9)

Sensitivity of the stability bound for ruin probabilities to claim distributions ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Approximation of ruin probabilities via Erlangized scale mixtures ⋮ Phase Transitions in Multiserver Queuing Systems ⋮ Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis ⋮ On corrected phase-type approximations of the time value of ruin with heavy tails ⋮ Evaluating readmission rates and discharge planning by analyzing the length-of-stay of patients ⋮ Functional sensitivity analysis of ruin probability in the classical risk models ⋮ Building mean field ODE models using the generalized linear chain trick & Markov chain theory

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