Ruin Problems for Phase-Type(2) Risk Processes

DOI10.1080/034612300750066836MaRDI QIDQ2739860zbMATH OpenOpenAlexFDO

Authors David C. M. Dickson, Christian Hipp

Publication date 16 September 2001

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/034612300750066836

zbMATH Keywords

phase-type distributionruin probabilityseverity of ruinSparre Andersen risk modelsurplus prior to ruin

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
• A joint density function in phase-type (2) risk models
• 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

Cites work

• 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
• scientific article; zbMATH DE number 805121 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• On the distribution of the surplus prior to ruin
• Phase-type representations in random walk and queueing problems
• Ruin probabilities for Erlang (2) risk processes

Cited in

(26)

• On the time to ruin for Erlang(2) risk processes.
• Compound geometric residual lifetime distributions and the deficit at ruin.
• 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.
• Ruin problems with assets and liabilities of diffusion type
• On the discounted distribution functions for the Erlang(2) risk process
• A note on killing with applications in risk theory
• The time to ruin and the number of claims until ruin for phase-type claims
• On a class of renewal risk models with a constant dividend barrier
• Martingales and the distribution of the time to ruin.
• On a multi-threshold compound Poisson surplus process with interest
• On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
• scientific article; zbMATH DE number 4066073 (Why is no real title available?)
• Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
• scientific article; zbMATH DE number 2121167 (Why is no real title available?)
• 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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