Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258007 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 2 [Article No.:] 53 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-21
Publisher: 
MDPI, Basel
Abstract: 
This paper examines the impact of the parameters of the distribution of the time at which a bank's client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability. We study the corresponding ruin probability on the assumption of (i) a phase-type distribution for the time at which default occurs and (ii) an embedding of the stochastic cash flow or the reserves of the bank to the Sparre Andersen model. The exact analytical expression for the ruin probability is not tractable under these assumptions, so Cramér Lundberg bounds types are obtained for the ruin probabilities with concomitant explicit equations for the calculation of the adjustment coefficient. To add some numerical flavour to our results, we provide some numerical illustrations.
Subjects: 
stochastic cash flow
Sparre Andersen model
ruin probability
phase-type distribution
Erlang distribution
Coxian distribution
moment generating function
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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