Computational methods in risk theory: a matrix-algorithmic approach

DOI10.1016/0167-6687(92)90058-JzbMath0748.62058OpenAlexW1997277199MaRDI QIDQ1185319

Tomasz Rolski, Soren Asmussen

Publication date: 28 June 1992

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90058-j

zbMATH Keywords

phase-type distributionsperiodic environmentcompound Poisson distributionMarkovian environmentprobabilities of ruinSparre Andersen processconditional claim amount distributionshyperexponential claimsMarkov modulated arrivalsmatrix-algorithmic methodnonlinear matrix iterationperiodic Poisson processes

Mathematics Subject Classification ID

Related Items (35)

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion ⋮ Dependence properties and bounds for ruin probabilities in multivariate compound risk models ⋮ Large claims approximations for risk processes in a Markovian environment ⋮ The estimation of phase-type related functionals using Markov chain Monte Carlo methods ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion ⋮ Some results on ruin probabilities in a two-dimensional risk model. ⋮ Finite time ruin probabilities with one Laplace inversion. ⋮ Characterization of Matrix-Exponential Distributions ⋮ The time to ruin and the number of claims until ruin for phase-type claims ⋮ Phase-type distributions and risk processes with state-dependent premiums ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Padé approximants for finite time ruin probabilities ⋮ Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods ⋮ Recursions for multivariate compound phase variables ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ An alternative characterization for matrix exponential distributions ⋮ Ruin Problems for Phase-Type(2) Risk Processes ⋮ Multivariate risk model of phase type ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach ⋮ On the Distribution of the Deficit at Ruin when Claims are Phase-type ⋮ On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing ⋮ Doubly periodic non-homogeneous Poisson models for hurricane data ⋮ Speedy convolution algorithms and Panjer recursions for phase-type distributions ⋮ On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes ⋮ Availability of inspected systems subject to shocks - A matrix algorithmic approach ⋮ Strong stability in a two-dimensional classical risk model with independent claims ⋮ Moment generating functions of compound renewal sums with discounted claims ⋮ Moment generating functions of compound renewal sums with discounted claims ⋮ Ruin probabilities for Erlang (2) risk processes ⋮ The variance constant for the actual waiting time of the PH/PH/1 queue ⋮ Evaluating readmission rates and discharge planning by analyzing the length-of-stay of patients ⋮ Ruin probabilities based at claim instants for some non-Poisson claim processes ⋮ Approximations for Finite Horizon Ruin Probabilities in the Renewal Model ⋮ Two-sided Lundberg inequalities in a Markovian environment

Cites Work

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