Ruin probabilities of a continuous-time Sparre Andersen model with inter-claim times distributed as discrete phase-type

zbMATH Open1313.91072MaRDI QIDQ5498024FDOQ5498024

Authors: Guoxin Liu, Yingli Hou, Jian Zhang 

Publication date: 11 February 2015

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zbMATH Keywords

ruin probabilitySparre Andersen modelLundberg boundCramér-Lundberg approximationdiscrete phase-type

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (7)

• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
• Title not available (Why is that?)
• Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang
• Ruin Problems for Phase-Type(2) Risk Processes
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times

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