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On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes

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1001 ‎$0‎MAPA20150002716‎$a‎Avram, F.
24510‎$a‎On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes‎$c‎F. Avram, M. Pistorius
520  ‎$a‎Padé rational approximations are a very convenient approximation tool, due to the easiness of obtaining them, as solutions of linear systems. Not surprisingly, many matrix exponential approximations used in applied probability are particular cases of the first and second order admissible Padé approximations of a Laplace transform, where admissible stands for nonnegative in the case of a density, and for nonincreasing in the case of a ccdf (survival function).
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎03/11/2014 Volumen 59 Número 1 - noviembre 2014
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A