9 citations · 31 across the 9 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
math.PR2017★ 8 cited
Approximation methods for piecewise deterministic Markov processes and their costs
Peter Kritzer, Gunther Leobacher, Michaela Szölgyenyi +1
In this paper, we analyse piecewise deterministic Markov processes, as introduced in Davis (1984). Many models in insurance mathematics can be formulated in terms of the general co…
math.PR2017
Integral equations, quasi-Monte Carlo methods and risk modelling
Michael Preischl, Stefan Thonhauser, Robert F. Tichy
We survey a QMC approach to integral equations and develop some new applications to risk modeling. In particular, a rigorous error bound derived from Koksma-Hlawka type inequalitie…