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.
On Phase-Type Distribution in Ruin Theory
M. Pietroluongo
2017-01-01
Abstract
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.File in questo prodotto:
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