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URN: urn:nbn:de:0030-drops-13999
URL: http://drops.dagstuhl.de/opus/volltexte/2008/1399/

Yu, Kaiqi ; Stanford, David A. ; Ren, Jiandong

Erlangian Approximation to Finite Time Ruin Probabilities in Perturbed Risk Models

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Abstract

In this work-in-progress, we consider perturbed risk processes that have an underlying Markovian structure, including Markovian risk processes, and Sparre-Andersen risk processes when both inter claim times and claim sizes are phase-type. We apply the Erlangization method to this risk process in order to obtain an accurate approximation of the finite time ruin probability. In addition, we recognize a repeating structure in the probability matrices we work with. This is the key element in developing more efficent algorithms for the computation of the ruin probabilities. Several numerical examples are present to illustrate the model.

BibTeX - Entry

@InProceedings{yu_et_al:DSP:2008:1399,
  author =	{Kaiqi Yu and David A. Stanford and Jiandong Ren},
  title =	{Erlangian Approximation to Finite Time Ruin Probabilities in Perturbed Risk Models},
  booktitle =	{Numerical Methods for Structured Markov Chains},
  year =	{2008},
  editor =	{Dario Bini and Beatrice Meini and Vaidyanathan Ramaswami and Marie-Ange Remiche and Peter Taylor},
  number =	{07461},
  series =	{Dagstuhl Seminar Proceedings},
  ISSN =	{1862-4405},
  publisher =	{Internationales Begegnungs- und Forschungszentrum f{\"u}r Informatik (IBFI), Schloss Dagstuhl, Germany},
  address =	{Dagstuhl, Germany},
  URL =		{http://drops.dagstuhl.de/opus/volltexte/2008/1399},
  annote =	{Keywords: Perturbed risk processes, finite-time ruin probability, phase-type distribution, fluid flow models, Erlangization}
}

Keywords: Perturbed risk processes, finite-time ruin probability, phase-type distribution, fluid flow models, Erlangization
Seminar: 07461 - Numerical Methods for Structured Markov Chains
Issue date: 2008
Date of publication: 07.04.2008


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