Survival probabilities for compound binomial risk model with discrete phase-type claims

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Communications Faculty of Sciences University Ankara Series A1 Mathematics and Statistics
Volume:65 Issue:2
Survival probabilities for compound binomial risk model with discrete phase-type claims

Survival probabilities for compound binomial risk model with discrete phase-type claims

Authors : Altan TUNCEL

Pages : 11-22

Doi:10.1501/Commua1_0000000755

View : 39 | Download : 15

Publication Date : 2016-08-01

Article Type : Research Paper

Abstract :Due to having useful properties in approximating to the other distributions and mathematically tractable, phase type distributions are commonly used in actuarial risk theory. Claim occurrence time and individual claim size distributions are modelled by phase type distributions in literature. This paper aims to calculate the survival probabilities of an insurance company under the assumption that compound binomial risk model where the individual claim sizes are distributed as discrete Phase Type distribution
Keywords : Compound binomial risk model, phase type claims, non homogenousclaim occurrence, survival probabilities

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