Ruin Problems for Phase-Type(2) Risk Processes

David Dickson and Christian Hipp

Scandinavian Actuarial Journal, 2000, vol. 2000, issue 2, 147-167

Abstract: In this paper we consider a risk process in which claim inter-arrival times have a phase-type(2) distribution, a distribution with a density satisfying a second order linear differential equation. We consider some ruin related problems. In particular, we consider the compound geometric representation of the infinite time survival probability, as well as the (defective) distributions of the surplus immediately prior to ruin and of the deficit at ruin. We also consider explicit solutions for the infinite time ruin probability in the case where the individual claim amount distribution is phase-type.

Date: 2000
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DOI: 10.1080/034612300750066836

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