Ruin Problems for Risk Processes with Dependent Phase-Type Claims-Reference-Cited by-同舟云学术

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Ruin Problems for Risk Processes with Dependent Phase-Type Claims

Published:2023-11-07 Issue:4 Volume:25 Page:
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Peralta Oscar^ORCID,Simon Matthieu

Funder

Australian Research Council Centre of Excellence for Mathematical and Statistical Frontiers

Australian Research Council

Swiss National Science Foundation

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11009-023-10065-8.pdf

Reference22 articles.

1. Albrecher H, Constantinescu C, Loisel S (2011) Explicit ruin formulas for models with dependence among risks. Insurance Math Econom 48(2):265–270

2. Asmussen S, Albrecher H (2010) Ruin probabilities, vol. 14 of Second Edition. World Scientific Publishing Co. Pte. Ltd

3. Assaf D, Langberg N, Savits T, Shaked M (1984) Multivariate phase-type distributions. Oper Res 32(3):688–702

4. Badescu A, Landriault D (2009) Applications of fluid flow matrix analytic methods in ruin theory - a review. Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A. Matemáticas 103(2):353–372

5. Bean N, O’Reilly M, Taylor P (2005) Hitting probabilities and hitting times for stochastic fluid flows. Stoch Process Appl 115(9):1530–1556

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