A joint density function in the renewal risk model

MaRDI QIDQ2860054zbMATH OpenFDO

Authors Huai Xu, Ling Tang

Publication date 19 November 2013

Published in Communications in Mathematical Research (Search for Journal in Brave)

zbMATH Keywords

deficit at ruinmaximal aggregate lossphase-type distributionrenewal risk modelsurplus prior to ruin

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• The joint density function of three characteristics on jump-diffusion risk process.
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• A joint density function in phase-type (2) risk models

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