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

MaRDI QIDQ5498024zbMATH OpenFDO

Authors Guoxin Liu, Yingli Hou, Jian Zhang

Publication date 11 February 2015

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)

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Cited in

(8)

• Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang
• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• 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
• scientific article; zbMATH DE number 5630049 (Why is no real title available?)
• 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
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model

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