Publisher
Springer Berlin Heidelberg
Reference53 articles.
1. Abate, J., Whitt, W.: Numerical inversion of Laplace transforms of probability distributions. ORSA Journal of Computing 7, 36–43 (1992)
2. Abate, J., Whitt, W.: Numerical inversion of probability generating functions. Operations Research Letters 12, 245–251 (1995)
3. Acerbi, C., Tasche, D.: On the coherence of expected shortfall. Journal of Banking and Finance 26, 1487–1503 (2002)
4. Bladt, M.: A review of phase-type distributions and their use in risk theory. ASTIN Bulletin 35(1), 145–167 (2005)
5. Böcker, K., Klüppelberg, C.: Operational VAR: a closed-form approximation. Risk Magazine 12, 90–93 (2005)