Survival probabilities for compound binomial risk model with discrete phase-type claims

Abstract

Due to having useful properties in approximating to the other distributions and mathematically tractable, phase type distributions are commonly used in actuarial risk theory. Claim occurrence time and individual claim size distributions are modelled by phase type distributions in literature. This paper aims to calculate the survival probabilities of an insurance company under the assumption that compound binomial risk model where the individual claim sizes are distributed as discrete Phase Type distribution