Asmussen, Soren; Avram, Florin; Usabel, Miguel - International Actuarial Association / Actuarial Studies … - 2002
For the Cramer-Lundberg risk model with phase-type claims, it is shown that the probability of ruin before an independent phase-type time H coincides with the ruin probability in a certain Markovian fluid model and therefore has an matrix-exponential form. When H is exponential, this yields in...