The aim of this paper is to serve as an introduction to the use of phase-type distributions and at the same time to outline their use in ruin theory. Phase-type distributions, a particular class of matrix-exponential distributions, have the important advantage of being suitable for approximating most of other distributions as well as being mathematically tractable.
|Titolo:||On Phase-Type Distribution in Ruin Theory|
|Data di pubblicazione:||2017|
|Appare nelle tipologie:||2.1 Contributo in volume (Capitolo o Saggio)|