Algorithmic Analysis of the Sparre Andersen Model in Discrete Time

DOI10.2143/AST.37.2.2024068MaRDI QIDQ5505901zbMATH OpenOpenAlexFDO

Authors Attahiru Sule Alfa, Steve Derkic

Publication date 28 January 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.37.2.2024068

zbMATH Keywords

deficit at ruindiscrete timematrix analytic methodssurplus immediately prior to ruintime of ruin

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 2130681 (Why is no real title available?)
• Markov chain representations of discrete distributions applied to queueing models
• Modelling Vehicular Traffic Using the Discrete Time Markovian Arrival Process

Cited in

(7)

• A threshold-based risk process with a waiting period to pay dividends
• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
• A generalized penalty function for a class of discrete renewal processes
• A unifying approach to the analysis of business with random gains
• Ruin analysis of a threshold strategy in a discrete-time Sparre Andersen model
• Reliability of a discrete-time system with investment

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