Phase-type distributions and risk processes with state-dependent premiums

DOI10.1080/03461238.1996.10413960zbMath0876.62089OpenAlexW2059725839MaRDI QIDQ4881684

Mogens Bladt, Soren Asmussen

Publication date: 1 December 1997

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1996.10413960

zbMATH Keywords

numerical methodsdifferential equationsrandom environmentruin probabilityphase-type distributionsrisk reserve process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes (62M99)

Related Items (8)

On the ruin probabilities in a general economic environment ⋮ Matrix‐Exponential Distributions: Calculus and Interpretations via Flows ⋮ The estimation of phase-type related functionals using Markov chain Monte Carlo methods ⋮ A fully Bayesian approach to inference for Coxian phase-type distributions with covariate dependent mean ⋮ On a discrete risk model with two-sided jumps ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach ⋮ Ruin theory with compounding assets -- a survey ⋮ On finite-time ruin probabilities with reinsurance cycles influenced by large claims

Cites Work

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• Computational methods in risk theory: a matrix-algorithmic approach
• Ruin problems with compounding assets
• Ruin probabilities expressed in terms of storage processes
• Probability of ruin with variable premium rate
• Ruin probabilities via local adjustment coefficients

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