On corrected phase-type approximations of the time value of ruin with heavy tails
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DOI: 10.1515/strm-2019-0009
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- Vatamidou, E. & Adan, I.J.B.F. & Vlasiou, M. & Zwart, B., 2013. "Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 366-378.
- Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
- Tang, Qihe & Wei, Li, 2010. "Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 19-31, February.
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Keywords
Corrected phase-type approximations; time value of ruin; Gerber–Shiu expected discounted penalty functions; heavy-tailed claim size distributions; tail asymptotics; dependent risk models; 62E17; 91B30; 97M30; 97K60; 60G70; 68Q17;All these keywords.
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