Breuer, Lothar and Badescu, A. and da Silva Soares, A. and Latouche, G. and Remiche, M. and Stanford, D. (2005) Risk processes analyzed as fluid queues. Scandinavian Actuarial Journal, 2005 (2). pp. 127-141. ISSN 0346-1238.
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| Official URL http://dx.doi.org/10.1080/03461230410000565 |
Abstract
This paper presents the Laplace transform of the time until ruin for a fairly general risk model. The model includes both the classical and most Sparre-Andersen risk models with phase-distributed claim amounts as special cases. It also allows for correlated arrival processes, and claim sizes that depend upon environmental factors such as periods of contagion. The paper exploits the relationship between the surplus process and fluid queues, where a number of recent developments have provided the basis for our analysis.
| Item Type: | Article |
|---|---|
| Uncontrolled keywords: | Time until ruin; Correlated claims; Ruin probability; Fluid queues; Risk processes; Matrix-analytic methods |
| Subjects: | H Social Sciences > HA Statistics |
| Divisions: | Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science |
| Depositing User: | Judith Broom |
| Date Deposited: | 19 Dec 2007 18:17 |
| Last Modified: | 20 Apr 2012 13:45 |
| Resource URI: | http://kar.kent.ac.uk/id/eprint/492 (The current URI for this page, for reference purposes) |
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