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Keywords: Sinc method
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Journal Articles
Expected discounted penalty function for a phase-type risk model with stochastic return on investment and random observation periods
Available to Purchase
Journal:
Kybernetes
Kybernetes (2018) 47 (7): 1420–1434.
Published: 08 January 2018
... bankruptcy. Design/methodology/approach By the Markov property and Ito’s formula, this paper derives the integro-differential equations in which the interclaim times follow a phase-type distribution. Using the sinc method, this paper obtains the approximate solutions of the expected discounted penalty...
