Sección: ArtículosTítulo: On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes / F. Avram, M. PistoriusAutor: Avram, F.Notas: Sumario: Padé rational approximations are a very convenient approximation tool, due to the easiness of obtaining them, as solutions of linear systems. Not surprisingly, many matrix exponential approximations used in applied probability are particular cases of the first and second order admissible Padé approximations of a Laplace transform, where admissible stands for nonnegative in the case of a density, and for nonincreasing in the case of a ccdf (survival function).Registros relacionados: En: Insurance : mathematics and economics. - Oxford : Elsevier, 1990- = ISSN 0167-6687. - 03/11/2014 Volumen 59 Número 1 - noviembre 2014 Otras clasificaciones: 6Derechos: In Copyright (InC)Referencias externas:
