Phase-type distributions and risk processes with state-dependent premiums

DOI10.1080/03461238.1996.10413960zbMath0876.62089OpenAlexW2059725839MaRDI QIDQ4881684

Mogens Bladt, Soren Asmussen

Publication date: 1 December 1997

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

Full work available at URL: https://doi.org/10.1080/03461238.1996.10413960

zbMATH Keywords

numerical methodsdifferential equationsrandom environmentruin probabilityphase-type distributionsrisk reserve process

Mathematics Subject Classification ID

Related Items (8)

On the ruin probabilities in a general economic environment ⋮ Matrix‐Exponential Distributions: Calculus and Interpretations via Flows ⋮ The estimation of phase-type related functionals using Markov chain Monte Carlo methods ⋮ A fully Bayesian approach to inference for Coxian phase-type distributions with covariate dependent mean ⋮ On a discrete risk model with two-sided jumps ⋮ The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach ⋮ Ruin theory with compounding assets -- a survey ⋮ On finite-time ruin probabilities with reinsurance cycles influenced by large claims

Cites Work

• Computational methods in risk theory: a matrix-algorithmic approach
• Ruin problems with compounding assets
• Ruin probabilities expressed in terms of storage processes
• Probability of ruin with variable premium rate
• Ruin probabilities via local adjustment coefficients
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