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Approximation methods for piecewise deterministic Markov processes and their costs
In this paper, we analyse piecewise deterministic Markov processes (PDMPs), as introduced in Davis (1984). Many models in insurance mathematics can be formulated in terms of the general concept of PDMPs. There one is interested in computing certain quantities of interest such as the probability of r...
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| Publicado no: | Scand Actuar J |
|---|---|
| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Taylor & Francis
2019
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6474733/ https://ncbi.nlm.nih.gov/pubmed/31058276 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/03461238.2018.1560357 |
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