eng
Schloss Dagstuhl – Leibniz-Zentrum für Informatik
Dagstuhl Seminar Proceedings
1862-4405
2008-04-07
1
15
10.4230/DagSemProc.07461.6
article
Erlangian Approximation to Finite Time Ruin Probabilities in Perturbed Risk Models
Yu, Kaiqi
Stanford, David A.
Ren, Jiandong
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.
https://drops.dagstuhl.de/storage/16dagstuhl-seminar-proceedings/dsp-vol07461/DagSemProc.07461.6/DagSemProc.07461.6.pdf
Perturbed risk processes
finite-time ruin probability
phase-type distribution
fluid flow models
Erlangization