The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.

DOI10.1016/J.INSMATHECO.2003.11.003zbMath1043.60036OpenAlexW2014271356MaRDI QIDQ1430675

Steve Drekic, David C. M. Dickson

Publication date: 27 May 2004

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

Full work available at URL: http://hdl.handle.net/11343/33767

zbMATH Keywords

Sparre Andersen risk modelRuinJoint density function

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Related Items (21)

On the discounted distribution functions for the Erlang(2) risk process ⋮ On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy ⋮ On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion ⋮ On the total operating costs up to default in a renewal risk model ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ Bayesian estimation of finite time ruin probabilities ⋮ 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 ⋮ The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times ⋮ On a class of renewal risk models with a constant dividend barrier ⋮ On the expected discounted penalty functions for two classes of risk processes ⋮ The surplus prior to ruin and the deficit at ruin for a correlated risk process ⋮ Overshoots and undershoots of Lévy processes ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION ⋮ On the renewal risk model under a threshold strategy ⋮ A Risk Model with Multilayer Dividend Strategy ⋮ The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model ⋮ On the discounted penalty function in a Markov-dependent risk model

Cites Work

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• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• Exact and approximate properties of the distribution of surplus before and after ruin
• Ruin Problems for Phase-Type(2) Risk Processes
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003

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