 previous article in this issue | next article in this issue  |
|
Document Details : Title: Recursive Methods for Computing Finite-Time Ruin Probabilities for Phase Distributed Claim Sizes Author(s): STANFORD, D.A. , STROIŃSKI, K.J. Journal: ASTIN Bulletin Volume: 24 Issue: 2 Date: November 1994 Pages: 235-254 DOI: 10.2143/AST.24.2.2005068 Abstract : Finite time ruin methods typically rely on diffusion approximations or discretization. We propose a new method by looking at the surplus process embedded at claim instants and develop a recursive scheme for calculating ruin probabilities. It is assumed that claim sizes follow a phase-type distribution. The proposed method is exact. The application of the method reveals where in the future the relative vulnerability to the company lies. |
