Padé approximants for finite time ruin probabilities

DOI10.1016/J.CAM.2014.09.009zbMath1301.91020OpenAlexW2091442822MaRDI QIDQ475654

Dong Xuan Tran

Publication date: 27 November 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.09.009

zbMATH Keywords

Padé approximantsruin probabilitiesclassical Cramer-Lundberg processhyper-exponentialmatrix exponential representation

Mathematics Subject Classification ID

Padé approximation (41A21) Probabilistic methods, stochastic differential equations (65C99)

Uses Software

• EMpht

Cites Work

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• An algorithm for computing a Padé approximant with minimal degree denominator
• Computational methods in risk theory: a matrix-algorithmic approach
• Padé-Legendre interpolants for Gibbs reconstruction
• Characterizations of generalized hyperexponential distribution functions
• Robust Padé Approximation via SVD
• Fitting with Matrix-Exponential Distributions

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