The distribution of discounted compound PH-renewal processes
type: Item
instance of: scholarly article
title: The distribution of discounted compound PH-renewal processes
zbMATH Open document ID: 1384.62303
author: Peng Zhang
published in: Methodology and Computing in Applied Probability
publication date: 2018-03-01T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60K10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6845823
zbMATH Keywords: compound renewal sums
zbMATH Keywords: PH distribution
zbMATH Keywords: PH renewal process
zbMATH Keywords: discounted aggregate claims
zbMATH Keywords: inverse Laplace transform
zbMATH Keywords: differential systems
zbMATH Keywords: approximations
zbMATH Keywords: risk measures
zbMATH Keywords: Esscher's premiums
describes a project that uses: Maple
MaRDI profile type: Publication
full work available at URL: s11009-016-9531-6
OpenAlex ID: W2556924772
cites work: Applied Probability and Queues
cites work: Q4344481
cites work: Jump diffusion processes and their applications in insurance and finance
cites work: Introduction to Matrix Analytic Methods in Stochastic Modeling
cites work: Covariance of discounted compound renewal sums with a stochastic interest rate
cites work: Moments of compound renewal sums with discounted claims
cites work: Moment generating functions of compound renewal sums with discounted claims
cites work: Renewal processes of phase type
cites work: Q3923308
cites work: Q4230625
cites work: The total claims distribution under inflationary conditions
DOI: 10.1007/S11009-016-9531-6
description: scientific article; zbMATH DE number 6845823