Finite time ruin probabilities with one Laplace inversion

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dc.contributor.author Avram, Florin
dc.contributor.author Usabel Rodrigo, Miguel Arturo
dc.date.accessioned 2011-12-14T14:38:57Z
dc.date.available 2011-12-14T14:38:57Z
dc.date.issued 2003-07
dc.identifier.bibliographicCitation Insurance, Mathematics & Economics, Jul 2003, v. 32, n. 3, pp. 371-377
dc.identifier.issn 0167-6687
dc.identifier.uri http://hdl.handle.net/10016/12752
dc.description.abstract In this work we present an explicit formula for the Laplace transform in time of the finite time ruin probabilities of a classical Levy model with phase-type claims. Our result generalizes the ultimate ruin probability formula of Asmussen and Rolski [IME 10 (1991) 259]—see also the analog queuing formula for the stationary waiting time of the M/Ph/1 queue in Neuts [Matrix-geometric Solutions in Stochastic Models: An Algorithmic Approach. Johns Hopkins University Press, Baltimore, MD, 1981]—and it considers the deficit at ruin as well
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights ©Elsevier
dc.subject.other Finite-time ruin probability
dc.subject.other Phase-type distribution
dc.subject.other Deficit at ruin
dc.subject.other Lundberg’s equation
dc.subject.other Laplace transform
dc.title Finite time ruin probabilities with one Laplace inversion
dc.type article
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1016/S0167-6687(03)00117-3
dc.subject.jel C690
dc.subject.jel C220
dc.subject.eciencia Empresa
dc.identifier.doi 10.1016/S0167-6687(03)00117-3
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 371
dc.identifier.publicationissue 3
dc.identifier.publicationlastpage 377
dc.identifier.publicationtitle Insurance, Mathematics & Economics
dc.identifier.publicationvolume 32
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