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

DOI10.1080/03461238.2018.1483420zbMath1418.91230OpenAlexW2809989782WikidataQ129643892 ScholiaQ129643892MaRDI QIDQ4562059

Mogens Bladt, Oscar Peralta, Bo Friis Nielsen

Publication date: 14 December 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://orbit.dtu.dk/en/publications/df584d6f-4009-4f3d-9c9c-fb340d101405

zbMATH Keywords

order statisticsBrownian motionruin probabilityLévy processfluid flowphase-type distributionsdependencyerlangization(cumulative) Parisian ruinBaker copulaSparre-Andersen

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Moments and polynomial expansions in discrete matrix-analytic models ⋮ Characterisation of multivariate phase type distributions ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ Ruin problems for risk processes with dependent phase-type claims ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ Poissonian occupation times of spectrally negative Lévy processes with applications

Uses Software

• EMpht

Cites Work

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