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Article: Dependent risk models with bivariate phase-type distributions
Title | Dependent risk models with bivariate phase-type distributions |
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Authors | |
Keywords | Bivariate phase-type distribution Deficit at ruin Fluid queue Gerber-Shiu function Surplus prior to ruin Surplus process |
Issue Date | 2009 |
Publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html |
Citation | Journal Of Applied Probability, 2009, v. 46 n. 1, p. 113-131 How to Cite? |
Abstract | In this paper we consider an extension of the Sparre Andersen insurance risk model by relaxing one of its independence assumptions. The newly proposed dependence structure is introduced through the premise that the joint distribution of the interclaim time and the subsequent claim size is bivariate phase-type (see, e.g. Assaf et al. (1984) and Kulkarni (1989)). Relying on the existing connection between risk processes and fluid flows (see, e.g. Badescu et al. (2005), Badescu, Drekic and Landriault (2007), Ramaswami (2006), and Ahn, Badescu and Ramaswami (2007)), we construct an analytically tractable fluid flow that leads to the analysis of various ruin-related quantities in the aforementioned risk model. Using matrix-analytic methods, we obtain an explicit expression for the Gerber - Shiu discounted penalty function (see Gerber and Shiu (1998)) when the penalty function depends on the deficit at ruin only. Finally, we investigate how some ruin-related quantities involving the surplus immediately prior to ruin can also be analyzed via our fluid flow methodology. © Applied Probability Trust 2009. |
Persistent Identifier | http://hdl.handle.net/10722/92951 |
ISSN | 2023 Impact Factor: 0.7 2023 SCImago Journal Rankings: 0.551 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Badescu, AL | en_HK |
dc.contributor.author | Cheung, ECK | en_HK |
dc.contributor.author | Landriault, D | en_HK |
dc.date.accessioned | 2010-09-22T05:04:52Z | - |
dc.date.available | 2010-09-22T05:04:52Z | - |
dc.date.issued | 2009 | en_HK |
dc.identifier.citation | Journal Of Applied Probability, 2009, v. 46 n. 1, p. 113-131 | en_HK |
dc.identifier.issn | 0021-9002 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/92951 | - |
dc.description.abstract | In this paper we consider an extension of the Sparre Andersen insurance risk model by relaxing one of its independence assumptions. The newly proposed dependence structure is introduced through the premise that the joint distribution of the interclaim time and the subsequent claim size is bivariate phase-type (see, e.g. Assaf et al. (1984) and Kulkarni (1989)). Relying on the existing connection between risk processes and fluid flows (see, e.g. Badescu et al. (2005), Badescu, Drekic and Landriault (2007), Ramaswami (2006), and Ahn, Badescu and Ramaswami (2007)), we construct an analytically tractable fluid flow that leads to the analysis of various ruin-related quantities in the aforementioned risk model. Using matrix-analytic methods, we obtain an explicit expression for the Gerber - Shiu discounted penalty function (see Gerber and Shiu (1998)) when the penalty function depends on the deficit at ruin only. Finally, we investigate how some ruin-related quantities involving the surplus immediately prior to ruin can also be analyzed via our fluid flow methodology. © Applied Probability Trust 2009. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Applied Probability Trust. The Journal's web site is located at http://www.shef.ac.uk/uni/companies/apt/ap.html | en_HK |
dc.relation.ispartof | Journal of Applied Probability | en_HK |
dc.subject | Bivariate phase-type distribution | en_HK |
dc.subject | Deficit at ruin | en_HK |
dc.subject | Fluid queue | en_HK |
dc.subject | Gerber-Shiu function | en_HK |
dc.subject | Surplus prior to ruin | en_HK |
dc.subject | Surplus process | en_HK |
dc.title | Dependent risk models with bivariate phase-type distributions | en_HK |
dc.type | Article | en_HK |
dc.identifier.email | Cheung, ECK: eckc@hku.hk | en_HK |
dc.identifier.authority | Cheung, ECK=rp01423 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1239/jap/1238592120 | en_HK |
dc.identifier.scopus | eid_2-s2.0-64249120249 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-64249120249&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 46 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 113 | en_HK |
dc.identifier.epage | 131 | en_HK |
dc.identifier.isi | WOS:000265076900008 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Badescu, AL=16315079400 | en_HK |
dc.identifier.scopusauthorid | Cheung, ECK=24461272100 | en_HK |
dc.identifier.scopusauthorid | Landriault, D=23479800100 | en_HK |
dc.identifier.issnl | 0021-9002 | - |