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

DOI10.1080/03461238.1996.10413960MaRDI QIDQ4881684zbMATH OpenOpenAlexFDO

Authors Mogens Bladt, Søren 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

differential equationsnumerical methodsrandom environmentruin probabilityphase-type distributionsrisk reserve process

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
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• scientific article; zbMATH DE number 3783337 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Computational methods in risk theory: a matrix-algorithmic approach
• Probability of ruin with variable premium rate
• Ruin probabilities expressed in terms of storage processes
• Ruin probabilities via local adjustment coefficients
• Ruin problems with compounding assets

Cited in

(13)

• Some state-specific exit probabilities in a Markov-modulated risk model
• The first exit time and ruin time for a risk process with reserve-dependent income.
• A Review on Phase-type Distributions and their Use in Risk Theory
• The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
• On a discrete risk model with two-sided jumps
• 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
• Ruin theory with compounding assets -- a survey
• Ruin probabilities expressed in terms of storage processes
• A fully Bayesian approach to inference for Coxian phase-type distributions with covariate dependent mean
• On finite-time ruin probabilities with reinsurance cycles influenced by large claims
• Affine storage and insurance risk models

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