Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims (Q6171946): Difference between revisions

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scientific article; zbMATH DE number 7713937

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English	Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims	scientific article; zbMATH DE number 7713937

Statements

instance of

scholarly article

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title

Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims (English)

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published in

Insurance Mathematics \& Economics

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publication date

18 July 2023

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zbMATH Keywords

cumulative Parisian ruin

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occupation time

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renewal risk model

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finite-time ruin probability

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Erlangization

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MaRDI profile type

Publication

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cites work

Randomized observation periods for the compound Poisson risk model: Dividends

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Q3560912

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Erlangian Approximations for Finite-Horizon Ruin Probabilities

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Parisian types of ruin probabilities for a class of dependent risk-reserve processes

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On the ruin time distribution for a Sparre Andersen process with exponential claim sizes

0 references

Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes

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Randomization and the American Put

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Brownian Excursions and Parisian Barrier Options

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Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models

0 references

On the dual risk model with Parisian implementation delays in dividend payments

0 references

Periodic threshold-type dividend strategy in the compound Poisson risk model

0 references

Q3938929

0 references

New identities for the partial Bell polynomials

0 references

Parisian ruin probability with a lower ultimate bankrupt barrier

0 references

The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model

0 references

Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process

0 references

The Density of the Time to Ruin in the Classical Poisson Risk Model

0 references

On the Distribution of the Deficit at Ruin when Claims are Phase-type

0 references

The time to ruin and the number of claims until ruin for phase-type claims

0 references

On the Time Value of Ruin

0 references

On the distribution of cumulative Parisian ruin

0 references

The Curious History of Faa di Bruno's Formula

0 references

Perpetual options and Canadization through fluctuation theory

0 references

On the distribution of classic and some exotic ruin times

0 references

An insurance risk model with Parisian implementation delays

0 references

Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions

0 references

On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution

0 references

The Parisian and ultimate drawdowns of Lévy insurance models

0 references

Liquidation risk in insurance under contemporary regulatory frameworks

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Parisian ruin for a refracted Lévy process

0 references

Parisian ruin probability for spectrally negative Lévy processes

0 references

Discounted penalty function at Parisian ruin for Lévy insurance risk process

0 references

Remarks on Bell and higher order Bell polynomials and numbers

0 references

Q4371204

0 references

The Erlangization method for Markovian fluid flows

0 references

Gaussian Class Multivariate Weibull Distributions: Theory and Applications in Fading Channels

0 references

Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models

0 references

On the discounted penalty function in the renewal risk model with general interclaim times

0 references

Surplus analysis of Sparre Andersen insurance risk processes

0 references

On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps

0 references

Identifiers

zbMATH Open document ID

1520.91319

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Mathematics Subject Classification ID

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0 references

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10.1016/J.INSMATHECO.2023.03.003

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Sitelinks

Mathematics(1 entry)

mardi Publication:6171946

@@ Property / DOI @@
-.1016/j.insmatheco.2023.03.003
@@ Property / DOI: 10.1016/j.insmatheco.2023.03.003 / rank @@
-Normal rank
@@ Property / cites work @@
+Randomized observation periods for the compound Poisson risk model: Dividends
+Normal rank
@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Erlangian Approximations for Finite-Horizon Ruin Probabilities
+Normal rank
@@ Property / cites work @@
+Parisian types of ruin probabilities for a class of dependent risk-reserve processes
+Normal rank
@@ Property / cites work @@
+On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
+Normal rank
@@ Property / cites work @@
+Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Brownian Excursions and Parisian Barrier Options
@@ Property / cites work: Brownian Excursions and Parisian Barrier Options / rank @@
+Normal rank
@@ Property / cites work @@
+Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
+Normal rank
@@ Property / cites work @@
+On the dual risk model with Parisian implementation delays in dividend payments
+Normal rank
@@ Property / cites work @@
+Periodic threshold-type dividend strategy in the compound Poisson risk model
+Normal rank
@@ Property / cites work @@
+Q3938929
@@ Property / cites work: Q3938929 / rank @@
+Normal rank
@@ Property / cites work @@
+New identities for the partial Bell polynomials
@@ Property / cites work: New identities for the partial Bell polynomials / rank @@
+Normal rank
@@ Property / cites work @@
+Parisian ruin probability with a lower ultimate bankrupt barrier
+Normal rank
@@ Property / cites work @@
+The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
+Normal rank
@@ Property / cites work @@
+Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
+Normal rank
@@ Property / cites work @@
+The Density of the Time to Ruin in the Classical Poisson Risk Model
+Normal rank
@@ Property / cites work @@
+On the Distribution of the Deficit at Ruin when Claims are Phase-type
+Normal rank
@@ Property / cites work @@
+The time to ruin and the number of claims until ruin for phase-type claims
+Normal rank
@@ Property / cites work @@
+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+On the distribution of cumulative Parisian ruin
@@ Property / cites work: On the distribution of cumulative Parisian ruin / rank @@
+Normal rank
@@ Property / cites work @@
+The Curious History of Faa di Bruno's Formula
@@ Property / cites work: The Curious History of Faa di Bruno's Formula / rank @@
+Normal rank
@@ Property / cites work @@
+Perpetual options and Canadization through fluctuation theory
+Normal rank
@@ Property / cites work @@
+On the distribution of classic and some exotic ruin times
+Normal rank
@@ Property / cites work @@
+An insurance risk model with Parisian implementation delays
+Normal rank
@@ Property / cites work @@
+Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
+Normal rank
@@ Property / cites work @@
+On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
+Normal rank
@@ Property / cites work @@
+The Parisian and ultimate drawdowns of Lévy insurance models
+Normal rank
@@ Property / cites work @@
+Liquidation risk in insurance under contemporary regulatory frameworks
+Normal rank
@@ Property / cites work @@
+Parisian ruin for a refracted Lévy process
@@ Property / cites work: Parisian ruin for a refracted Lévy process / rank @@
+Normal rank
@@ Property / cites work @@
+Parisian ruin probability for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Discounted penalty function at Parisian ruin for Lévy insurance risk process
+Normal rank
@@ Property / cites work @@
+Remarks on Bell and higher order Bell polynomials and numbers
+Normal rank
@@ Property / cites work @@
+Q4371204
@@ Property / cites work: Q4371204 / rank @@
+Normal rank
@@ Property / cites work @@
+The Erlangization method for Markovian fluid flows
+Normal rank
@@ Property / cites work @@
+Gaussian Class Multivariate Weibull Distributions: Theory and Applications in Fading Channels
+Normal rank
@@ Property / cites work @@
+Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
+Normal rank
@@ Property / cites work @@
+On the discounted penalty function in the renewal risk model with general interclaim times
+Normal rank
@@ Property / cites work @@
+Surplus analysis of Sparre Andersen insurance risk processes
+Normal rank
@@ Property / cites work @@
+On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
+Normal rank
@@ Property / DOI @@
+.1016/J.INSMATHECO.2023.03.003
@@ Property / DOI: 10.1016/J.INSMATHECO.2023.03.003 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:6171946