On the accuracy of phase-type approximations of heavy-tailed risk models

Author： Vatamidou E.   Adan I.J.B.F.   Vlasiou M.   Zwart B.  

Publisher： Taylor & Francis Ltd

ISSN： 0346-1238

Source： Scandinavian Actuarial Journal, Vol.2014, Iss.6, 2014-09, pp. : 510-534

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Related content

Stress testing of credit portfolios in light- and heavy-tailed models

By Kalkbrener Michael   Packham Natalie  

Journal of Risk Management in Financial Institutions, Vol. 8, Iss. 1, 2015-01 ,pp. : 34-44

Henry Stewart Publications

Access to resources Recommend Favorite

The use of phase-type models for disability insurance calculations

By Hassan Zadeh Amin   Jones Bruce L.   Stanford David A.  

Scandinavian Actuarial Journal, Vol. 2014, Iss. 8, 2014-11 ,pp. : 714-728

Taylor & Francis Ltd

Access to resources Recommend Favorite

Ruin Problems for Phase-Type(2) Risk Processes

By Dickson D. C. M.   Hipp C.  

Scandinavian Actuarial Journal, Vol. 100, Iss. 2, 2000-09 ,pp. : 147-167

Taylor & Francis Ltd

Access to resources Recommend Favorite

Ruin Problems for Phase-Type(2) Risk Processes

By Dickson D. C. M.   Hipp C.  

Scandinavian Actuarial Journal, Vol. 2000, Iss. 2, 2000-09 ,pp. : 147-167

Taylor & Francis Ltd

Access to resources Recommend Favorite

Fitting bivariate losses with phase-type distributions

By Zadeh Amin Hassan  

Scandinavian Actuarial Journal, Vol. 2013, Iss. 4, 2013-07 ,pp. : 241-262

Taylor & Francis Ltd

Access to resources Recommend Favorite