The Moments of the Time of Ruin in Markovian Risk Models |
| |
| Authors: | Kaiqi Yu PhD Jiandong Ren PhD David A Stanford PhD |
| |
| Institution: | Department of Statistical and Actuarial Sciences , University of Western Ontario , London , Ontario N6A, 5B7 , Canada |
| |
| Abstract: | Abstract We present an approach based on matrix-analytic methods to find moments of the time of ruin in Markovian risk models. The approach is applicable when claims occur according to a Markovian arrival process (MAP) and claim sizes are phase distributed with parameters that depend on the state of the MAP. The method involves the construction of a sample-path-equivalent Markov-modulated fluid flow for the risk model. We develop an algorithm for moments of the time of ruin and prove the algorithm is convergent. Examples show that the proposed approach is computationally stable. |
| |
| Keywords: | |
|
|
