Erlangian Approximations for Finite-Horizon Ruin Probabilities

ASTIN Bulletin

Volumn 32, Issue 2, 2002, Pages 267-281

  Asmussen, Soren ^a   Avram, Florin ^b   Usabel, Miguel ^c  

^a LUND UNIVERSITY   (Sweden)

^b HERIOT WATT UNIVERSITY   (United Kingdom)

^c UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Erlang expiration; extrapolation; finite time ruin probabilities; fluid model; phase type distributions; semi Markov embedding

Indexed keywords

EID: 85011453553     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.2143/AST.32.2.1029     Document Type: Article

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