Erlangian approximation to finite time ruin probabilities in perturbed risk models

DOI10.1080/03461230903421492zbMath1277.60128OpenAlexW2059843551MaRDI QIDQ2866277

David A. Stanford, Jiandong Ren, Kaiqi Yu

Publication date: 13 December 2013

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

Full work available at URL: https://drops.dagstuhl.de/opus/volltexte/2008/1399/

zbMATH Keywords

phase-type distributionErlangizationfluid flow modelsfinite time ruin probabilityperturbed risk processes

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Renewal theory (60K05) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (15)

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion ⋮ The Markov additive risk process under an Erlangized dividend barrier strategy ⋮ On a perturbed compound Poisson model with varying premium rates ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ Computing survival probabilities based on stochastic differential models ⋮ Bayesian Estimation for the Markov-Modulated Diffusion Risk Model ⋮ On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues ⋮ Approximations for time-dependent distributions in Markovian fluid models ⋮ ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ On finite-time ruin probabilities with reinsurance cycles influenced by large claims ⋮ Randomized observation periods for the compound Poisson risk model: the discounted penalty function

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• The Erlangization method for Markovian fluid flows
• The use of vector-valued martingales in risk theory
• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Ruin probabilities based at claim instants for some non-Poisson claim processes
• The Schur complement and its applications
• Stationary distributions for fluid flow models with or without brownian noise
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Risk processes analyzed as fluid queues
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models

This page was built for publication: Erlangian approximation to finite time ruin probabilities in perturbed risk models