On ruin for the Erlang \((n)\) risk process

DOI10.1016/j.insmatheco.2004.01.002zbMath1188.91089OpenAlexW1973085653MaRDI QIDQ977146

Publication date: 20 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.01.002

Mathematics Subject Classification ID

Statistical block designs (62K10) Renewal theory (60K05)

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SOME EXTENSIONS OF THE RESIDUAL LIFETIME AND ITS CONNECTION TO THE CUMULATIVE RESIDUAL ENTROPY ⋮ Analysis of some ruin-related quantities in a Markov-modulated risk model ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL ⋮ RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS ⋮ Ruin probabilities for the phase-type dual model perturbed by diffusion ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ Lévy insurance risk process with Poissonian taxation ⋮ Further developments in the Erlang(n) risk process ⋮ On a ruin model with both interclaim times and premiums depending on claim sizes ⋮ The finite time ruin probability in a risk model with capital injections ⋮ On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula ⋮ A note on deficit analysis in dependency models involving Coxian claim amounts ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula ⋮ Discrete time ruin probability with Parisian delay ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ On the Gerber–Shiu function with random discount rate ⋮ On a general class of renewal risk process: analysis of the Gerber-Shiu function ⋮ On a class of renewal risk model with random income ⋮ The Time Value of Ruin in a Sparre Andersen Model ⋮ Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model ⋮ Computing the Gerber–Shiu function by frame duality projection ⋮ The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims ⋮ On the severity of ruin in a Markov-modulated risk model ⋮ Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion ⋮ The Compound Poisson Risk Model with Interest and a Threshold Strategy ⋮ Analysis of ruin measures for the classical compound Poisson risk model with dependence ⋮ A Risk Model Based on Markov Chains with Marked Transitions ⋮ Application of Advanced Integrodifferential Equations in Insurance Mathematics and Process Engineering ⋮ A generalized penalty function for a class of discrete renewal processes ⋮ A unifying approach to the analysis of business with random gains ⋮ Erlang risk models and finite time ruin problems ⋮ On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process ⋮ Fitting bivariate losses with phase-type distributions ⋮ Randomized observation periods for the compound Poisson risk model: the discounted penalty function ⋮ The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion ⋮ The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model ⋮ On a risk model with dependence between interclaim arrivals and claim sizes ⋮ On a class of discrete time renewal risk models ⋮ Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models ⋮ The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model ⋮ Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts ⋮ Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model ⋮ On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model ⋮ On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ Markov-dependent risk model with multi-layer dividend strategy ⋮ On the discounted distribution functions for the Erlang(2) risk process ⋮ On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ Ruin problems in the generalized Erlang(\(n\)) risk model ⋮ On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy ⋮ On a perturbed Sparre Andersen risk model with multi-layer dividend strategy ⋮ On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals ⋮ On the discounted penalty function in a perturbed Erlang renewal risk model with dependence ⋮ Ruin and dividend measures in the renewal dual risk model ⋮ The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims ⋮ The perturbed compound Poisson risk model with two-sided jumps ⋮ The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ An operator property of the distribution of a nonhomogeneous Poisson process with applications ⋮ Differential equations for ruin probability in a special risk model with FGM copula for the claim size and the inter-claim time ⋮ Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times ⋮ A class of Sparre Andersen risk process ⋮ Uncertain insurance risk process with multiple classes of claims ⋮ On a risk model with random incomes and dependence between claim sizes and claim intervals ⋮ On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang ⋮ On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy ⋮ On a risk model with claim investigation ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ Moments of discounted dividend payments in a risk model with randomized dividend-decision times ⋮ Gerber-Shiu function for a class of Markov-modulated Lévy risk processes with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ On the expected discounted penalty function for the compound Poisson risk model with delayed claims ⋮ The Gerber-Shiu function and the generalized Cramér-Lundberg model ⋮ The expected discounted penalty function under a renewal risk model with stochastic income ⋮ On a risk model with randomized dividend-decision times ⋮ The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion ⋮ A note on discounted compound renewal sums under dependency ⋮ The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model ⋮ On the analysis of a general class of dependent risk processes ⋮ On the Gerber-Shiu discounted penalty function in a risk model with delayed claims ⋮ The compound Poisson risk model with dependence under a multi-layer dividend strategy ⋮ On the total operating costs up to default in a renewal risk model ⋮ A perturbed risk model with dependence between premium rates and claim sizes ⋮ Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims ⋮ Finite time ruin problems for the Erlang\((2)\) risk model ⋮ Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts ⋮ An algebraic operator approach to the analysis of Gerber-Shiu functions ⋮ Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models ⋮ Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy

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