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Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
15 references·2 citing·34 second hop
Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models (2005)Phase-type Approximations to Finite-time …Risk processes analyzed as fluid queues (2004)Risk processes analyzed as fl…On the Distribution of the Deficit at Ruin when Claims are Phase-type (2004)On the Distribution of the De…On the Density and Moments of the Time of Ruin with Exponential Claims (2003)On the Density and Moments of…FURTHER RESULTS ON THE SIMILARITY BETWEEN FLUID QUEUES AND QBDS (2002)FURTHER RESULTS ON THE SIMILA…Erlangian Approximations for Finite-Horizon Ruin Probabilities (2002)Erlangian Approximations for …Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Ruin Probabilities (2000)Ruin ProbabilitiesStochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Introduction to Matrix Analytic Methods in Stochastic Modeling (1999)Introduction to Matrix Analyt…Computational methods in risk theory: A matrix-algorithmic approach (1992)Computational methods in risk…Recursive Calculation of Survival Probabilities (1991)Recursive Calculation of Surv…Matrix-geometric solutions in stochastic models (1985)Matrix-geometric solutions in…Matrix-Geometric Solutions to Stochastic Models (1984)Matrix-Geometric Solutions to…Calculation of Ruin Probabilities when the Claim Distribution is Lognormal (1977)Calculation of Ruin Probabili…The Markov Additive Risk Process Under an Erlangized Dividend Barrier Strategy (2014)The Markov Additive Risk Proc…Erlangized Fluid Queues with Application To Uncontrolled Fire Perimeter (2005)Erlangized Fluid Queues with …An introduction to mathematical risk theory (1979)Recursive Evaluation of a Family of Compound Distributions (1981)Recursive calculation of finite-time ruin probabilities (1988)The discrete-time risk model with correlated classes of business (2000)On the Class of Erlang Mixtures with Risk Theoretic Applications (2007)Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2011)Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Risk theory in a Markovian environment (1989)New results on the single server queue with a batch markovian arrival process (1991)On a Class of Renewal Risk Processes (1998)Multivariate risk model of phase type (2005)Characterization of Matrix-Exponential Distributions (2008)Stochastic theory of a fluid model of producers and consumers coupled by a buffer (1988)Inventory Control in a Fluctuating Demand Environment (1993)To Queue or Not to Queue: Equilibrium Behavior in Queueing Systems (2003)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)The Batch Markovian Arrival Process: A Review and Future Work (2001)Telephone Call Centers: Tutorial, Review, and Research Prospects (2003)Fundamentals of Matrix-Analytic Methods (2013)A two-dimensional ruin problem on the positive quadrant (2007)Randomized observation periods for the compound Poisson risk model: Dividends (2011)Models for analysis of packet voice communications systems (1986)Russian and American put options under exponential phase-type Lévy models (2003)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)
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  • 2004On the Distribution of the Deficit at Ruin when Claims are Phase-type49 cited

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2014
The Markov Additive Risk Process Under an Erlangized Dividend Barrier Strategy
35 cited
  • 2005Erlangized Fluid Queues with Application To Uncontrolled Fire Perimeter17 cited