Applications of fluid flow matrix analytic methods in ruin theory —a review
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas - Tập 103 - Trang 353-372 - 2009
Tóm tắt
In this paper, we present a unified probabilistic approach to analyze a wide class of insurance risk models in a ruin theoretical context. Contrary to the traditional analytic approach mainly encountered in the literature, this alternative approach is based on matrix analytic methods (MAMs) that have become an increasingly popular set of tools in the study of various applied probability models. We make use of the recent advances in the study of fluid queues to analyze some insurance risk processes and their ruin related quantities. The advantages and disadvantages of MAMs over alternative methods are also discussed.
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