On the accuracy of phase-type approximations of heavy-tailed risk models
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461238.2012.729154
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1. Computing Laplace Transforms for Numerical Inversion Via Continued Fractions
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