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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Taylor & Francis
2019
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6474733/ https://www.ncbi.nlm.nih.gov/pubmed/31058276 http://dx.doi.org/10.1080/03461238.2018.1560357 |