PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION

DOI10.15807/JORSJ.60.337zbMath1382.91047arXiv1701.02798OpenAlexW2182979730MaRDI QIDQ4597002

Kazutoshi Yamazaki

Publication date: 11 December 2017

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.02798

zbMATH Keywords

risk managementapplied probability

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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The Gerber-Shiu discounted penalty function: a review from practical perspectives

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