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The time to ruin and the number of claims until ruin for phase-type claims

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  • Frostig, Esther
  • Pitts, Susan M.
  • Politis, Konstadinos
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    Abstract

    We consider a renewal risk model with phase-type claims, and obtain an explicit expression for the joint transform of the time to ruin and the number of claims until ruin, with a penalty function applied to the deficit at ruin. The approach is via the duality between a risk model with phase-type claims and a particular single server queueing model with phase-type customer interarrival times; see Frostig (2004). This result specializes to one for the probability generating function of the number of claims until ruin. We obtain explicit expressions for the distribution of the number of claims until ruin for exponentially distributed claims when the inter-claim times have an Erlang-n distribution.

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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 51 (2012)
    Issue (Month): 1 ()
    Pages: 19-25

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    Handle: RePEc:eee:insuma:v:51:y:2012:i:1:p:19-25

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    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Renewal risk model; Ruin time; Number of claims to ruin; Deficit at ruin; Duality; Extended Negative Binomial distribution;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Landriault, David & Willmot, Gordon, 2008. "On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 600-608, April.
    2. Landriault, David & Shi, Tianxiang & Willmot, Gordon E., 2011. "Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 371-379.
    3. Ahn, Soohan & Badescu, Andrei L., 2007. "On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 234-249, September.
    4. Borovkov, Konstantin A. & Dickson, David C.M., 2008. "On the ruin time distribution for a Sparre Andersen process with exponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1104-1108, June.
    5. Dickson, David C.M. & Li, Shuanming, 2010. "Finite time ruin problems for the Erlang(2) risk model," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 12-18, February.
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    Cited by:
    1. Cheung, Eric C.K., 2013. "Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 343-354.

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