3 citations · 5 across the 2 of their papers we have counts for
2 papers
math.PR2017★ 2 cited
Approximation of Ruin Probabilities via Erlangized Scale Mixtures
Oscar Peralta, Leonardo Rojas-Nandayapa, Wangyue Xie +1
In this paper, we extend an existing scheme for numerically calculating the probability of ruin of a classical Cramér--Lundberg reserve process having absolutely continuous but oth…
math.ST2017★ 3 cited
Fitting phase--type scale mixtures to heavy--tailed data and distributions
Mogens Bladt, Leonardo Rojas-Nandayapa
We consider the fitting of heavy tailed data and distribution with a special attention to distributions with a non--standard shape in the "body" of the distribution. To this end we…