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

DOI10.1016/J.INSMATHECO.2011.12.003zbMath1237.91125OpenAlexW1986178529MaRDI QIDQ414592

David C. M. Dickson

Publication date: 11 May 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.12.003

Mathematics Subject Classification ID

Related Items (17)

On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model ⋮ Finite-time ruin probabilities using bivariate Laguerre series ⋮ Number of jumps in two-sided first-exit problems for a compound Poisson process ⋮ A note on ruin problems in perturbed classical risk models ⋮ The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model ⋮ A surplus process involving a compound Poisson counting process and applications ⋮ On the time and the number of claims when the surplus drops below a certain level ⋮ On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures ⋮ Some ruin problems for the MAP risk model ⋮ On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model ⋮ Number of claims and ruin time for a refracted risk process ⋮ On the distribution of classic and some exotic ruin times ⋮ Joint Distributions of Some Ruin Related Quantities in the Compound Binomial Risk Model ⋮ On a spectrally negative Lévy risk process with periodic dividends and capital injections ⋮ Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times ⋮ On a partial integrodifferential equation of Seal's type ⋮ Gerber-Shiu analysis of a risk model with capital injections

Cites Work

• Unnamed Item
• Unnamed Item
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• On the discounted penalty function in a Markov-dependent risk model
• Mathematical fun with ruin theory
• How many claims does it take to get ruined and recovered?
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• On the Ruin Problem of Collective Risk Theory
• Optimal Dynamic Reinsurance
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• On the Time Value of Ruin

This page was built for publication: The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model