On a class of dependent Sparre Andersen risk models and a bailout application
Year of publication: |
November 2016
|
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Authors: | Avram, Florin ; Pistorius, M. R. ; Rabehasaina, L. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 27-39
|
Subject: | Bailout strategy | Phase-type distribution | Ruin probability | Sparre Andersen dependence structure | Busy period |
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