Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process

DOI10.1080/10920277.2003.10596073zbMath1084.60544OpenAlexW2116916808MaRDI QIDQ5715901

Ye Bin Cheng, Qi-he Tang

Publication date: 5 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596073

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (39)

Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model ⋮ On the discounted distribution functions for the Erlang(2) risk process ⋮ The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims ⋮ Moments of the time of ruin, surplus before ruin and the deficit at ruin in the Erlang(N) risk process ⋮ A note on a class of delayed renewal risk processes ⋮ On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula ⋮ Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang ⋮ The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion ⋮ 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 ⋮ The Gerber-Shiu discounted penalty function in the stationary renewal risk model. ⋮ The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion ⋮ The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models. ⋮ On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes. ⋮ Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ An algebraic operator approach to the analysis of Gerber-Shiu functions ⋮ On a general class of renewal risk process: analysis of the Gerber-Shiu function ⋮ Laplace transform of the survival probability under Sparre Andersen model ⋮ 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 ⋮ 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 discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function ⋮ On ruin for the Erlang \((n)\) risk process ⋮ Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model ⋮ The expected discounted penalty at ruin in the Erlang (2) risk process ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ On the integrated tail of the deficit in the renewal risk model ⋮ Asymptotics for solutions of a defective renewal equation with applications ⋮ The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion ⋮ On the renewal risk model under a threshold strategy ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy ⋮ On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times ⋮ The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model ⋮ On a class of discrete time renewal risk models ⋮ Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts ⋮ On the discounted penalty function in a Markov-dependent risk model

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