On the Distribution of the Deficit at Ruin when Claims are Phase-type
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Publication:5430572
DOI10.1080/03461230110106471zbMath1142.62088OpenAlexW2082360210MaRDI QIDQ5430572
David A. Stanford, Gordon E. Willmot, David C. M. Dickson, Steve Drekic
Publication date: 16 December 2007
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230110106471
phase-type distributionrenewal risk modelErlang distributionSparre Andersen modelladder heightCoxian distributionmaximal aggregate loss
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)
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Cites Work
- The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
- Computational methods in risk theory: a matrix-algorithmic approach
- Phase-type representations in random walk and queueing problems
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- Recursive calculation of the probability and severity of ruin
- On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
- Introduction to Matrix Analytic Methods in Stochastic Modeling
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