Ruin problems in the generalized Erlang(n) risk model

On a class of renewal risk models with a constant dividend barrier

We derive formulae for the moments of the time of ruin in both ordinary and modified Sparre Andersen risk models without specifying either the inter-claim time distribution or the individual claim amount distribution. We illustrate the application of our results in the special case of exponentially distributed claims, as well as for the following ordinary models: the classical risk model, phase-type(2) risk models, and the Erlang( $\mathscr{n}$ ) risk model. We also show how the key quantities for modified models can be found.

Analysis of the discounted sum of ascending ladder heights

On the stability of certain systems under resonance conditions

In this paper, we investigate a Sparre Andersen risk model perturbed by diffusion with phase-type inter-claim times. We mainly study the distribution of maximum surplus prior to ruin. A matrix form of integro-differential equation for this quantity is derived, and its solution can be expressed as a linear combination of particular solutions of the corresponding homogeneous integro-differential equations. By using the divided differences technique and nonnegative real part roots of Lundberg’s equation, the explicit Laplace transforms of particular solutions are obtained. Specially, we can deduce closed-form results as long as the individual claim size is rationally distributed. We also give a concise matrix expression for the expected discounted dividend payments under a barrier dividend strategy. Finally, we give some examples to present our main results.

A generalized penalty function in the Sparre–Andersen risk model with two-sided jumps

Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier

The change of measure method is a strong probabilistic technique used successfully in actuarial and financial mathematics. In particular, by using an exponential martingale the surplus process transfers under the new measure to the same type of process. Several technical difficulties one observes under the original measure disappear. We illustrate the methods for the Cramer-Lundberg risk model, the Sparre-Andersen risk model and the Ammeter risk model. As ruin is certain under the new measure, the method also yields an ideal possibility to simulate ruin probabilities.

Unstable transient response of gyroscopic systems with stable eigenvalues

This paper contains an inequality about functions which are analytic and have a positive real part in the unit disk. A first consequence of the inequality is the fact that if is analytic for |z| < 1 and has values lying in a strip of width δ. This result is known and was first proved by Tammi (1).Our second theorem is a generalization of this. Namely, ifis analytic for |z| < 1 and satisfies Re{zmf(m>(z)} ≧ A andthenconverges.Another application of our fundamental inequality is the following. Let be analytic for |z| < 1 and satisfy Re p(z) ≧ 0 and set and .

We consider the problem of stabilizing a matrix by a correction of minimal norm: Given a square matrix that has some eigenvalues with positive real part, find the nearest matrix having no eigenvalue with positive real part. It can be further required that the correction have a prescribed structure, e.g., be real, have a prescribed sparsity pattern, or have a given maximal rank. We propose and study a novel approach to this nonconvex and nonsmooth optimization problem, based on the solution of low-rank matrix differential equations. This enables us to compute locally optimal solutions in a fast way, also for higher-dimensional problems. Illustrative numerical experiments provide evidence of the efficiency of the method. It is further shown that the approach applies equally to the related problems of closed-loop stabilization of control systems and to the stabilization of gyroscopic systems.

This paper is concerned with the relationship between the sum of roots with positive real parts (SORPRP) of an even polynomial and the polynomial spectral factor of the even polynomial. The SORPRP and its relationship to Gröbner bases are firstly reviewed. Then it is shown that the system of equations satisfied by the coefficients of the polynomial spectral factor is directly related to a Gröbner basis. It is then demonstrated by means of an \( {\mathcal{H}}_2 \) optimal control problem that the above fact can be used to facilitate guaranteed accuracy computation.

In this paper, we consider a continuous time risk model involving two types of dependent claims, namely main claims and by-claims. The by-claim is induced by the main claim and the occurrence of by-claim may be delayed depending on associated main claim amount. Using Rouch<TEX>$\acute{e}$</TEX>'s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent risk model from an integro-differential equations system. Then, using the Laplace transform, we derive a defective renewal equation satisfied by the survival probability. For the exponential claim sizes, we present the explicit formula for the survival probability. We also illustrate the influence of the model parameters in the dependent risk model on the survival probability by numerical examples.

This paper presents the Laplace transform of the time until ruin for a fairly general risk model. The model includes both the classical and most Sparre-Andersen risk models with phase-distributed claim amounts as special cases. It also allows for correlated arrival processes, and claim sizes that depend upon environmental factors such as periods of contagion. The paper exploits the relationship between the surplus process and fluid queues, where a number of recent developments have provided the basis for our analysis.

This chapter complements the material of Chap. 4 in the sense that explicit identification of requisite quantities is possible with stronger parametric assumptions about either the (marginal) distribution of the claim sizes or that of the interclaim times. Convenient parametric assumptions involve Erlang (or Coxian) distributions, due to the generality and mathematical tractability inherent in the use of such models. Sect. 5.1 directly generalizes the classical Poisson model of Chap. 3 by essentially assuming a (marginal) Erlang form for the interclaim times. A Lagrange polynomial approach together with Laplace transform arguments is used to explicitly identify all components of the Gerber-Shiu function. The independent model with an arbitrary interclaim time distribution and exponential claim sizes is then considered in Sect. 5.2. The conditioning argument of Sect. 5.2 is then extended in Sect. 5.3 to a model where the (marginal) claim size distribution is assumed to be of Coxian form. In particular, identification of the Gerber-Shiu function is shown to be possible for special choices of the penalty function, and more generally for an arbitrary penalty function of the deficit. Finally, the Coxian assumption of Sect. 5.3 is replaced by a (possibly infinite) mixture of Erlang distributions, resulting in tractable results for ruin probabilities, the deficit at ruin, and related quantities.