“Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003

DOI10.1080/10920277.2003.10596112zbMath1084.60548OpenAlexW3151529140MaRDI QIDQ5715931

X. Sheldon Lin

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596112

Mathematics Subject Classification ID

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

Related Items (9)

On the discounted distribution functions for 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 ⋮ 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 ⋮ The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion ⋮ Ruin Probabilities for Two Classes of Risk Processes

Cites Work

• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• On the Time Value of Ruin

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