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Title of article :
Ruin probabilities based at claim instants for some non-Poisson claim processes
Author/Authors :
Stanford، نويسنده , , David A. and Stroi?ski، نويسنده , , Krzysztof J. and Lee، نويسنده , , Karen، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Pages :
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Abstract :
The paper presents a recursive method of calculating ruin probabilities for non-Poisson claim processes, by looking at the surplus process embedded at claim instants. The developed method is exact. The processes considered have both claim sizes and the inter-claim revenue following selected phase type distributions. The numerical section contains figures derived from the exact approach, as well as a tabular example using the numerical approach of De Vylder and Goovaerts. The application of the method derived in the paper through numerical examples reveals the sensitivity of the value of probability of ruin to changes in claim number process.
Keywords :
Ruin probability , Non-Poisson risk processes , phase-type distributions , Recursive methods
Journal title :
Insurance Mathematics and Economics
Link To Document :