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- W2093850839 abstract "Abstract Phase-type distributions are one of the most general classes of distributions permitting a Markovian interpretation. Sparre Andersen risk models with phase-type claim interarrival times or phase-type claims can be analyzed using Markovian techniques, and results can be expressed in compact matrix forms. Computations involved are readily programmable in practice. This paper studies some quantities associated with the first passage time and the time of ruin in a Sparre Andersen risk model with phase-type interclaim times. In an earlier discussion the present author obtained a matrix expression for the Laplace transform of the first time that the surplus process reaches a given target from the initial surplus. Using this result, we analyze (1) the Laplace transform of the recovery time after ruin, (2) the probability that the surplus attains a certain level before ruin, and (3) the distribution of the maximum severity of ruin. We also give a matrix expression for the expected discounted dividend pay..." @default.
- W2093850839 created "2016-06-24" @default.
- W2093850839 creator A5043199445 @default.
- W2093850839 date "2008-10-01" @default.
- W2093850839 modified "2023-09-26" @default.
- W2093850839 title "The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model" @default.
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- W2093850839 doi "https://doi.org/10.1080/10920277.2008.10597533" @default.
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