Erlangian Approximations for Finite-Horizon Ruin Probabilities

By Søren Asmussen, Florin Avram, M. Usábel. ASTIN Bulletin: The Journal of the International Actuarial Association, 2002

130 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ee79dd42b43a55be65b20d0869e54bb56a3618aa

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Citations in the corpus

Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models (2005, methodology): “Abstract The present paper extends the ”Erlangization” idea introduced by Asmussen, Avram, and Usabel (2002) to the Sparre-Andersen and stationary renewal risk models.”
Russian and American put options under exponential phase-type Lévy models (2004, methodology): “Also, Erlang approximations of finite time ruin probabilities for one sided phase-type L´evy processes (12) may be obtained as well, generalizing those for the classical ruin model of Asmussen, Avram and Usabel [ 8 ].”
On a Periodic Dividend Barrier Strategy in the Dual Model with Continuous Monitoring of Solvency (2013, unknown): “This so-called ‘Erlangization’ technique was proposed by Asmussen et al. (2002), and its computational advantage has been exploited by e.”
An Insurance Risk Model with Parisian Implementation Delays (2013, unknown): “…is similar to the use of Erlangian horizons (rather than a deterministic horizon) for the calculation of finite-time ruin probabilities in risk models, also called Canadization in the finance literature (see Carr 1998; Asmussen et al. 2002; Ramaswami et al. 2008; Kuznetsov et al. 2011).”
A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman- Kac formula, Laplace transform and its inversion (2007, background): “with � = � p2�( B) 1 (see for example (4) in [ 2 ]), and in the case of exponential claim sizes”
A Review on Phase-type Distributions and their Use in Risk Theory (2005, background): “Asmussen et al. (2002) provides an elegant algorithmic solution to the finite time-horizon ruin probability.”