IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v32y2002i02p267-281_01.html
   My bibliography  Save this article

Erlangian Approximations for Finite-Horizon Ruin Probabilities

Author

Listed:
  • Asmussen, Soren
  • Avram, Florin
  • Usabel, Miguel

Abstract

For the Cramér-Lundberg risk model with phase-type claims, it is shown that the probability of ruin before an independent phase-type time H coincides with the ruin probability in a certain Markovian fluid model and therefore has an matrix-exponential form. When H is exponential, this yields in particular a probabilistic interpretation of a recent result of Avram & Usabel. When H is Erlang, the matrix algebra takes a simple recursive form, and fixing the mean of H at T and letting the number of stages go to infinity yields a quick approximation procedure for the probability of ruin before time T. Numerical examples are given, including a combination with extrapolation.

Suggested Citation

  • Asmussen, Soren & Avram, Florin & Usabel, Miguel, 2002. "Erlangian Approximations for Finite-Horizon Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 32(2), pages 267-281, November.
    • Handle: RePEc:cup:astinb:v:32:y:2002:i:02:p:267-281_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100013143/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:32:y:2002:i:02:p:267-281_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.