Journal
SCANDINAVIAN ACTUARIAL JOURNAL
Volume -, Issue 1, Pages 32-61Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/03461238.2018.1483420
Keywords
Sparre-Andersen; Brownian motion; ruin probability; (cumulative) Parisian ruin; fluid flow; order statistics; dependency; Baker copula; phase-type distributions; erlangization; Levy process
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Funding
- CONACYT PhD Scholarship - Mexican Government [1410763]
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For a rather general class of risk-reserve processes, we provide an exact method for calculating different kinds of ruin probabilities, with particular emphasis on variations over Parisian type of ruin. The risk-reserve processes under consideration have, in general, dependent phase-type distributed claim sizes and inter-arrivals times, whereas the movement between claims can either be linear or follow a Brownian motion with linear drift. For such processes, we provide explicit formulae for classical, Parisian and cumulative Parisian types of ruin (for both finite and infinite time horizons) when the clocks are phase-type distributed. An erlangization scheme provides an efficient algorithmic methods for calculating the aforementioned ruin probabilities with deterministic clocks. Special attention is drawn to the construction of specific dependency structures, and we provide a number of numerical examples to study its effect on probabilities.
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