Recursive Methods for Computing Finite-Time Ruin Probabilities for Phase-Distributed Claim Sizes
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AbstractFinite time ruin methods typically rely on diffusion approximations or discretization. We propose a new method by looking at the surplus process embedded at claim instants and develop a recursive scheme for calculating ruin probabilities. It is assumed that claim sizes follow a phase-type distribution. The proposed method is exact. The application of the method reveals where in the future the relative vulnerability to the company lies.
2007 ◽
Vol 64
(6)
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pp. 591-611
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2013 ◽
Vol 31
(4)
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pp. 671-683
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2020 ◽
Vol 35
(3)
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pp. 1345-1371
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1985 ◽
Vol 22
(01)
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pp. 247-250
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