The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach

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dc.citation.epage99en_US
dc.citation.issueNumber1en_US
dc.citation.spage85en_US
dc.citation.volumeNumber252en_US
dc.contributor.authorYazici, M. A.en_US
dc.contributor.authorAkar, N.en_US
dc.date.accessioned2018-04-12T10:37:26Z
dc.date.available2018-04-12T10:37:26Z
dc.date.issued2017en_US
dc.departmentDepartment of Electrical and Electronics Engineeringen_US
dc.description.abstractWe present a new numerical method to obtain the finite- and infinite-horizon ruin probabilities for a general continuous-time risk problem. We assume the claim arrivals are modeled by the versatile Markovian arrival process, the claim sizes are PH-distributed, and the premium rate is allowed to depend on the instantaneous risk reserve in a piecewise-constant manner driven by a number of thresholds, i.e., multi-threshold premiums. We introduce a novel sample path technique by which the ruin problems are shown to reduce to the steady-state solution of a certain multi-regime Markov fluid queue. We propose to use the already existing numerically efficient and stable numerical algorithms for such Markov fluid queues. Numerical results are presented to validate the effectiveness of the proposed method regarding the computation of the finite- and infinite-horizon ruin probabilities for risk models including those with relatively large number of thresholds.en_US
dc.identifier.doi10.1007/s10479-015-2105-0en_US
dc.identifier.issn0254-5330
dc.identifier.urihttp://hdl.handle.net/11693/36360
dc.language.isoEnglishen_US
dc.publisherSpringer New York LLCen_US
dc.relation.isversionofhttp://dx.doi.org/10.1007/s10479-015-2105-0en_US
dc.source.titleAnnals of Operations Researchen_US
dc.subjectErlangizationen_US
dc.subjectFinite/infinite horizon ruin probabilitiesen_US
dc.subjectMarkov fluid queuesen_US
dc.titleThe finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approachen_US
dc.typeArticleen_US
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