On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains

descriptionPublicationkeyboard_double_arrow_right Article 01 May 2010 English Publisher:Cambridge University Press (CUP)Journal:ASTIN Bulletin, volume 40, pages 281-306 (issn: 0515-0361, eissn: 1783-1350,

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Authors: Ng, Andrew C. Y.;

doi: 10.2143/ast.40.1.2049230

On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains

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Abstract

AbstractIn this paper, we consider the dual of the classical Cramér-Lundberg model when gains follow a phase-type distribution. By using the property of phase-type distribution, two pairs of upcrossing and downcrossing barrier probabilities are derived. Explicit formulas for the expected total discounted dividends until ruin and the Laplace transform of the time of ruin under a variety of dividend strategies can then be obtained without the use of Laplace transforms.

Related Organizations

The Chinese University of Hong kong
Hong Kong
Chinese University of Hong Kong
China (People's Republic of)

Keywords

ruin theory, dual risk model, upcrossing and downcrossing probabilities, Risk theory, insurance, phase-type distribution, dividend strategy

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