Erlangian Approximation to Finite Time Ruin Probabilities in Perturbed Risk Models
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چکیده
In this work-in-progress, we consider perturbed risk processes that have an underlying Markov structure, including Markovian risk processes, and Sparre–Andersen risk processes when both inter claim times and claim sizes are phase–type. We apply the Erlangization method to this risk process in order to obtain an accurate approximation of the finite time ruin probability. In addition, we recognize a repeating structure in the probability matrices we work with. Numerical examples illustrate the use of the model.
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تاریخ انتشار 2007