Seminars 2008 — Abstracts
Friday, October 17
Speaker:
Xueyuan Wu,
Melbourne
Title:
Some discussions on discrete phase-type claims
Abstract: This talk consists of two parts. In the first part, a discrete-time Sparre Andersen risk model with general inter-claim times is considered. Assuming that the individual claim amounts follow discrete phase-type distributions, the probability of ruin and the distribution of the deficit at ruin are discussed. Examples are provided. Secondly, we aim to evaluate the distribution of the aggregate claims in the collective risk model. The number of claims is assumed to follow a discrete phase-type distribution. A matrix form recursive formula is derived to evaluate the compound phase-type distribution when claim amounts follow a discrete distribution on non- negative integers. The corresponding formula is also given when the claim amounts follow a continuous distribution.
