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Computational methods in risk theory: A matrix-algorithmic approach

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  • Asmussen, Soren
  • Rolski, Tomasz

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  • Asmussen, Soren & Rolski, Tomasz, 1992. "Computational methods in risk theory: A matrix-algorithmic approach," Insurance: Mathematics and Economics, Elsevier, vol. 10(4), pages 259-274, January.
    • Handle: RePEc:eee:insuma:v:10:y:1992:i:4:p:259-274
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    Cited by:

    1. He, Yue & Kawai, Reiichiro, 2022. "Moment and polynomial bounds for ruin-related quantities in risk theory," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1255-1271.
    2. Franck Adékambi & Kokou Essiomle, 2020. "Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution," Risks, MDPI, vol. 8(2), pages 1-21, May.
    3. Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB School of Economics Working Papers 2014/310, University of Barcelona School of Economics.
    4. Shao, Jia & Papaioannou, Apostolos D. & Pantelous, Athanasios A., 2017. "Pricing and simulating catastrophe risk bonds in a Markov-dependent environment," Applied Mathematics and Computation, Elsevier, vol. 309(C), pages 68-84.
    5. Thampi K. K. & Jacob M. J. & Raju N., 2007. "Ruin Probabilities under Generalized Exponential Distribution," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(1), pages 1-12, May.
    6. Hansjörg Albrecher & Eleni Vatamidou, 2019. "Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims," Risks, MDPI, vol. 7(4), pages 1-14, October.
    7. Wanlu Gu & Neng Fan & Haitao Liao, 2019. "Evaluating readmission rates and discharge planning by analyzing the length-of-stay of patients," Annals of Operations Research, Springer, vol. 276(1), pages 89-108, May.
    8. Avram, F. & Pistorius, M., 2014. "On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 57-64.

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