A class of Sparre Andersen risk process

DOI10.1007/S11464-010-0059-8MaRDI QIDQ610720zbMATH OpenOpenAlexFDO

Authors Hua Dong, Zaiming Liu

Publication date 10 December 2010

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-010-0059-8

zbMATH Keywords

defective renewal equationGerber-Shiu functionLaplace transformmixed Erlang distributionSparre Andersen risk process

Mathematics Subject Classification ID

Renewal theory (60K05)

Recommendations

• The Gerber-Shiu function for the Sparre Andersen risk model
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Cites work

• Nonexponential asymptotics for the solutions of renewal equations, with applications
• On a Class of Renewal Risk Processes
• On ruin for the Erlang \((n)\) risk process
• On the time to ruin for Erlang(2) risk processes.
• Ruin probabilities for Erlang (2) risk processes
• Ruin problems for a Sparre Andersen risk model
• The Time Value of Ruin in a Sparre Andersen Model

Cited in

(14)

• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
• On the analysis of a general class of dependent risk processes
• On orderings and bounds in a generalized Sparre Andersen risk model
• Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
• On a Sparre Andersen risk model perturbed by a spectrally negative Lévy process
• The Gerber-Shiu function for the Sparre Andersen risk model
• On the finite-time survival probability for a kind of risk models
• Ruin problems for a Sparre Andersen risk model
• The Sparre Andersen risk process with investment and debit interest
• Diszkrét kockázati modell általános befizetési ráta mellett
• Ruin Probabilities for Two Classes of Risk Processes
• scientific article; zbMATH DE number 2219403 (Why is no real title available?)
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• Surplus analysis of Sparre Andersen insurance risk processes

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