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Phase-type approximations to finite-time ruin probabilities in the Sparre-Andersen and
 

Summary: Phase-type approximations to finite-time ruin
probabilities in the Sparre-Andersen and
stationary renewal risk models
D.A. Stanford*
, F. Avram
, A.B. Badescu
, L. Breuer*,
A. da Silva Soares* & G. Latouche*
January 20, 2005
D´epartement d'Informatique, Universit´e Libre de Bruxelles
Dept. of Statistical & Actuarial Sciences, University of Western Ontario
D´epartement de Math´ematiques, Universit´e de Pau
Dept. of Computer Science, Universit¨at Trier
Abstract
The present paper extends the "Erlangization" idea introduced by
Asmussen, Avram, and Usabel (2002) to the Sparre-Andersen and sta-
tionary renewal risk models. Erlangization yields an asymptotically-
exact method for calculating finite time ruin probabilities with phase-
type claim amounts. The method is based on finding the probabil-
ity of ruin prior to a phase-type random horizon, independent of the

  

Source: Avram, Florin - Laboratoire de Mathématiques Appliquées, Université de Pau et des Pays de l'Adour

 

Collections: Mathematics