Risk processes analyzed as fluid queues

Breuer, Lothar and Badescu, Andrei and da Silva Soares, Ana and Latouche, Guy and Remiche, Marie-Ange and Stanford, David (2005) Risk processes analyzed as fluid queues. Scandinavian Actuarial Journal, 2005 (2). pp. 127-141. ISSN 0346-1238. (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided)

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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: 15 Apr 2014 14:15
Resource URI: https://kar.kent.ac.uk/id/eprint/492 (The current URI for this page, for reference purposes)
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