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On the distribution of discounted compound renewal sums with PH claims

Title:

On the distribution of discounted compound renewal sums with PH claims

Wang, Ya Fang (2007) On the distribution of discounted compound renewal sums with PH claims. Masters thesis, Concordia University.

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Abstract

The family of phase-type (PH) distributions has many good properties such as closure under convolution and mixtures and have rational Laplace transforms. PH distributions are widely used in applications of stochastic models such as in queueing systems, biostatistics and engineering. They are also applied to insurance risk. In this thesis, we discuss the moment generating function (m.g.f.) of a compound present value risk process with phase-type (PH) deflated claim severities under a net interest e = 0. This represents a generalization of the classical risk model e = 0. A closed form of the m.g.f. of a compound Poisson present value risk process with PH deflated claims is obtained. We also consider the discounted compound renewal process and get homogeneous differential equations for its m.g.f. in the case of PH deflated claims. Applications and some numerical examples are given to illustrate the results.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Thesis (Masters)
Authors:Wang, Ya Fang
Pagination:vii, 68 leaves : ill. ; 29 cm.
Institution:Concordia University
Degree Name:M. Sc.
Program:Mathematics
Date:2007
Thesis Supervisor(s):Garrido, José
ID Code:975655
Deposited By: Concordia University Library
Deposited On:22 Jan 2013 16:12
Last Modified:18 Jan 2018 17:40
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