Article ID Journal Published Year Pages File Type
5076750 Insurance: Mathematics and Economics 2012 7 Pages PDF
Abstract
► We consider a renewal risk model with phase-type claims. ► We obtain the joint transform of the time to ruin and the number of claims until ruin. ► The approach is via the duality between a risk model and a single server queueing model. ► We obtain explicit expressions for the distribution of the number of claims before ruin.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
The time to ruin and the number of claims until ruin for phase-type claims
Authors
, , ,