Erlangian approximation to finite time ruin probabilities in perturbed risk models
نویسندگان
چکیده
منابع مشابه
Erlangian Approximation to Finite Time Ruin Probabilities in Perturbed Risk Models
In this work-in-progress, we consider perturbed risk processes that have an underlying Markov structure, including Markovian risk processes, and Sparre–Andersen risk processes when both inter claim times and claim sizes are phase–type. We apply the Erlangization method to this risk process in order to obtain an accurate approximation of the finite time ruin probability. In addition, we recogniz...
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ژورنال
عنوان ژورنال: Scandinavian Actuarial Journal
سال: 2011
ISSN: 0346-1238,1651-2030
DOI: 10.1080/03461230903421492