The estimation of phase-type related functionals using Markov chain Monte Carlo methods

Author： Bladt M.   Gonzalez A.   Lauritzen S.L.  

Publisher： Taylor & Francis Ltd

ISSN： 0346-1238

Source： Scandinavian Actuarial Journal, Vol.2003, Iss.4, 2003-10, pp. : 280-300

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

Abstract

Related content

Modelling default contagion using multivariate phase-type distributions

By Herbertsson Alexander  

Review of Derivatives Research, Vol. 14, Iss. 1, 2011-04 ,pp. : 1-36

Springer Publishing Company

Access to resources Recommend Favorite

Monte Carlo methods for pricing discrete Parisian options

By Bernard Carole   Boyle Phelim  

The European Journal of Finance, Vol. 17, Iss. 3, 2011-03 ,pp. : 169-196

Routledge 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

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