Approximation of the Ultimate Ruin Probability in the Classical Risk Model Using Erlang Mixtures-Reference-Cited by-同舟云学术

Approximation of the Ultimate Ruin Probability in the Classical Risk Model Using Erlang Mixtures

Published:2016-09-17 Issue:3 Volume:19 Page:775-798
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Santana David J.,González-Hernández Juan,Rincón Luis

Funder

CONACyT

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

http://link.springer.com/article/10.1007/s11009-016-9515-6/fulltext.html

Reference27 articles.

1. Albrecher H, Avram F, Kortschak D (2010) On the efficient evaluation of ruin probabilities for completely monotone claim distributions. J Comput Appl Math 233:2724–2736

2. Asmussen S, Albrecher H (2010) Ruin probabilities, vol 14. World Scientific, Singapore

3. Asmussen S, Binswanger K (1997) Simulation of ruin probabilities for subexponential claims. ASTIN Bull 27(2):297–318

4. Avram F, Chedom DF, Horváth A (2011) On moments based Padé approximations of ruin probabilities. J Comput Appl Math 235:3215–3228

5. Bladt M, Nielsen BF, Samorodnitsky G (2014) Calculation of ruin probabilities for a dense class of heavy tailed distributions. Scand Actuar J 7:573–591

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