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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

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.

Suggested Citation

  • Frostig, Esther & Pitts, Susan M. & Politis, Konstadinos, 2012. "The time to ruin and the number of claims until ruin for phase-type claims," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 19-25.
  • Handle: RePEc:eee:insuma:v:51:y:2012:i:1:p:19-25
    DOI: 10.1016/j.insmatheco.2012.02.013
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Hesselager, Ole, 1994. "A Recursive Procedure for Calculation of some Compound Distributions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 24(01), pages 19-32, May.
    6. 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.
    7. Panjer, H. H. & Willmot, G. E., 1982. "Recursions for Compound Distributions," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 13(01), pages 1-12, June.
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    Citations

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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.
    2. repec:eee:apmaco:v:331:y:2018:i:c:p:358-377 is not listed on IDEAS
    3. Avram, F. & Pistorius, M., 2014. "On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér–Lundberg processes," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 57-64.
    4. repec:eee:insuma:v:74:y:2017:i:c:p:170-181 is not listed on IDEAS
    5. Liu, Peng & Zhang, Chunsheng & Ji, Lanpeng, 2017. "A note on ruin problems in perturbed classical risk models," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 28-33.

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