Ruin Problems for Phase-Type(2) Risk Processes
The paper deals with certain ruin related problems for a special Sparre Andersen model in which the inter-arrival times form a sequence of i.i.d. r.v.s with the density function \(k(\cdot)\) satisfying the second order linear differential equation \(k(t)+A_1k'(t)+A_2k(t)=0\) for \(t>0\), \(A_2>0\). The compound geometric representation of the infinite time survival probability is obtained by the approach different of those due to \textit{G. E. Willmot} [A Laplace transform representation in a class of renewal queueing and risk processes. Institute of Insurance and Pension Research, Paper No. 97-16, University of Waterloo (1997)] and \textit{S. Asmussen} [Ann. Probab. 20, No. 2, 772-789 (1992; Zbl 0755.60049)]. The (defective) distributions of the surplus immediately prior to ruin and of the deficit at ruin is considered as well as the explicit solution for the infinite time ruin probability problem in the case when the individual claim size distribution is phase-type.
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- Ruin probabilities for Erlang (2) risk processes
- The time of recovery and the maximum severity of ruin in a Sparre Andersen model
- Ruin probabilities of a continuous-time Sparre Andersen model with inter-claim times distributed as discrete phase-type
- Aspects of risk theory
- Computational methods in risk theory: a matrix-algorithmic approach
- Exact and approximate properties of the distribution of surplus before and after ruin
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- The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
- On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
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- On the discounted distribution functions for the Erlang(2) risk process
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- On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
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- The time of recovery and the maximum severity of ruin in a Sparre Andersen model
- Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
- scientific article; zbMATH DE number 6263078 (Why is no real title available?)
- The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
- Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
- 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
- Ruin probabilities of a continuous-time Sparre Andersen model with inter-claim times distributed as discrete phase-type
- scientific article; zbMATH DE number 2217836 (Why is no real title available?)
- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
- Ruin problems for risk processes with dependent phase-type claims
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