Erlangian Approximations for Finite-Horizon Ruin Probabilities

DOI10.2143/AST.32.2.1029zbMath1081.60028OpenAlexW2145929107MaRDI QIDQ4661663

Miguel A. Usábel, Florin Avram, Soren Asmussen

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.32.2.1029

zbMATH Keywords

extrapolation fluid model phase-type distributions finite time ruin probabilities Erlang expiration semi-Markov embedding

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (69)

Hamilton-Jacobi-Bellman-Isaacs equation for rational inattention in the long-run management of river environments under uncertainty ⋮ Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Computing the exponential of large block-triangular block-Toeplitz matrices encountered in fluid queues ⋮ The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ On a perturbed compound Poisson model with varying premium rates ⋮ Lyapunov exponents for branching processes in a random environment: the effect of information ⋮ Moments and polynomial expansions in discrete matrix-analytic models ⋮ From PH/MAP to ME/RAP ⋮ On the randomized Schmitter problem ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ A numerical approach for evaluating the time-dependent distribution of a quasi birth-death process ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ Parisian types of ruin probabilities for a class of dependent risk-reserve processes ⋮ Computing the finite-time expected discounted penalty function for a family of Lévy risk processes ⋮ Parisian ruin with Erlang delay and a lower bankruptcy barrier ⋮ Time dependent analysis of finite buffer fluid flows and risk models with a dividend barrier ⋮ Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps ⋮ On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy ⋮ Modeling and computation of cost-constrained adaptive environmental management with discrete observation and intervention ⋮ THE RUNNING MAXIMUM OF A LEVEL-DEPENDENT QUASI-BIRTH-DEATH PROCESS ⋮ SIR-type epidemic models as block-structured Markov processes ⋮ Erlangian Approximations for the Transient Analysis of a Fluid Queue Model for Forest Fire Perimeter ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ Finite time ruin probabilities with one Laplace inversion. ⋮ Matrix Structures in Queuing Models ⋮ Spectrally negative Lévy risk model under Erlangized barrier strategy ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ An adaptive premium policy with a Bayesian motivation in the classical risk model ⋮ The Erlangization method for Markovian fluid flows ⋮ Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ An insurance risk model with Parisian implementation delays ⋮ Bayesian estimation of finite time ruin probabilities ⋮ A two-dimensional ruin problem on the positive quadrant ⋮ Optimal dividends under Erlang(2) inter-dividend decision times ⋮ Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon ⋮ On the optimality of joint periodic and extraordinary dividend strategies ⋮ Approximations for time-dependent distributions in Markovian fluid models ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach ⋮ The surplus prior to ruin and the deficit at ruin for a correlated risk process ⋮ Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications ⋮ An Approximation to the Distribution and the Moments of the Number of Events in Markovian Arrival Processes ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ Dependent Risk Models with Bivariate Phase-Type Distributions ⋮ Erlangized Fluid Queues with Application To Uncontrolled Fire Perimeter ⋮ Approximating Matrix-Exponential Distributions by Global Randomization ⋮ Risk processes analyzed as fluid queues ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ The Moments of the Time of Ruin in Markovian Risk Models ⋮ Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions ⋮ A Direct Approach to a First-Passage Problem with Applications in Risk Theory ⋮ Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication ⋮ The Density of the Time to Ruin in the Classical Poisson Risk Model ⋮ Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models ⋮ A Review on Phase-type Distributions and their Use in Risk Theory ⋮ Risk Processes with Interest Force in Markovian Environment ⋮ A Risk Model Based on Markov Chains with Marked Transitions ⋮ Russian and American put options under exponential phase-type Lévy models. ⋮ Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs ⋮ Erlangian approximation to finite time ruin probabilities in perturbed risk models ⋮ On finite-time ruin probabilities with reinsurance cycles influenced by large claims ⋮ Randomized observation periods for the compound Poisson risk model: the discounted penalty function ⋮ Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model ⋮ On the Profitability of Selfish Blockchain Mining Under Consideration of Ruin

Cites Work

This page was built for publication: Erlangian Approximations for Finite-Horizon Ruin Probabilities