The use of vector-valued martingales in risk theory |
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Authors: | Andrei Badescu Lothar Breuer |
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Institution: | 1. Toronto, Canada 2. Kent, UK
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Abstract: | A completely dependent risk process with perturbation and phase-type distributed claim sizes is analyzed. Claim arrivals are modeled by a Markovian arrival process. Using a vector-valued martingale, the Laplace transform of the time to ruin is derived algorithmically. The conditional memoryless property of the phase-type distribution yields the distribution of the deficit at ruin as a corollary. |
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