On the efficient evaluation of ruin probabilities for completely monotone claim distributions
Journal of Computational and Applied Mathematics
| Hi-index | 7.29 |
We study the scale function of the spectrally negative phase-type Levy process. Its scale function admits an analytical expression and so do a number of its fluctuation identities. Motivated by the fact that the class of phase-type distributions is dense in the class of all positive-valued distributions, we propose a new approach to approximating the scale function and the associated fluctuation identities for a general spectrally negative Levy process. Numerical examples are provided to illustrate the effectiveness of the approximation method.