On the Time Value of Ruin

DOI10.1080/10920277.1998.10595671MaRDI QIDQ5718272zbMATH OpenOpenAlexWikidataFDO

Publication date 13 January 2006

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

Full work available at URL https://doi.org/10.1080/10920277.1998.10595671

Martingales with continuous parameter (60G44) Renewal theory (60K05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Characterization and structure theory of statistical distributions (62E10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

How long is the surplus below zero?
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Mathematical fun with ruin theory
On the distribution of the surplus prior to ruin
On the Ruin Problem of Collective Risk Theory
Ruin problems and dual events
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
The surpluses immediately before and at ruin, and the amount of the claim causing ruin

Cited in

(only showing first 100 items - show all)

An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
On perpetual American put valuation and first-passage in a regime-switching model with jumps
A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
On the ruin probability for the Cox correlated risk model perturbed by diffusion
On differentiability of ruin functions under Markov-modulated models
On the discrete-time compound renewal risk model with dependence
Pricing perpetual American catastrophe put options: A penalty function approach
The Markovian regime-switching risk model with a threshold dividend strategy
On a dual model with a dividend threshold
The distribution of total dividend payments in a Sparre Andersen model
Total duration of negative surplus for the risk model with debit interest
Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
On the renewal risk model under a threshold strategy
The expected discounted penalty function under a risk model with stochastic income
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
From ruin theory to pricing reset guarantees and perpetual put options
Inequality extensions of Prabhu's formula in ruin theory
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
On the discounted distribution functions of the surplus process perturbed by diffusion.
On the time to ruin for Erlang(2) risk processes.
A generalized defective renewal equation for the surplus process perturbed by diffusion.
On the expected discounted penalty function at ruin of a surplus process with interest.
The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
Ruin theory in a financial corporation model with credit risk.
On the moments of the surplus process perturbed by diffusion.
Finite time ruin probabilities with one Laplace inversion.
The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
Discounted probabilities and ruin theory in the compound binomial model
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
Dividends: from refracting to ratcheting
Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
A dependent insurance risk model with surrender and investment under the thinning process
Purchasing casualty insurance to avoid lifetime ruin
On the distribution of cumulative Parisian ruin
The risk model with stochastic premiums, dependence and a threshold dividend strategy
Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
A note on a Lévy insurance risk model under periodic dividend decisions
A threshold-based risk process with a waiting period to pay dividends
The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
The compound Poisson risk model under a mixed dividend strategy
Distributional study of finite-time ruin related problems for the classical risk model
An IBNR-RBNS insurance risk model with marked Poisson arrivals
On the dual risk model with Parisian implementation delays in dividend payments
Complete monotonicity of the probability of ruin and de Finetti's dividend problem
The expected discounted penalty at ruin in the Erlang (2) risk process
Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
On fair reinsurance premiums; capital injections in a perturbed risk model
On the discounted distribution functions for the Erlang(2) risk process
On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
Lévy systems and the time value of ruin for Markov additive processes
Ruin probability and time of ruin with a proportional reinsurance threshold strategy
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The maximum severity of ruin in a perturbed risk process with Markovian arrivals
On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
Analysis of a defective renewal equation arising in ruin theory
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Optimal dividend payout under compound Poisson income
Optimal dividend strategies with time-inconsistent preferences
On the distribution of classic and some exotic ruin times
Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
Valuing equity-linked death benefits in jump diffusion models
On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
Optimal investment for an insurer under liquid reserves
A multidimensional problem of optimal dividends with irreversible switching: a convergent numerical scheme
Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
Catastrophic risks and the pricing of catastrophe equity put options
Transient and first passage time distributions of first- and second-order multi-regime Markov fluid queues via ME-fication
Optimal continuous production-inventory systems subject to stockout risk
Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
On the improved thinning risk model under a periodic dividend barrier strategy
Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process
On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income
On the dual risk model with diffusion under a mixed dividend strategy
On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital
Statistical estimation for some dividend problems under the compound Poisson risk model
Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy
Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
Delayed capital injections for a risk process with Markovian arrivals
Risk modelling on liquidations with Lévy processes
On the Gerber-Shiu discounted penalty function in a risk model with two types of delayed-claims and random income
On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
A risk model with varying premiums: its risk management implications
Occupation times in the MAP risk model
Estimation of the expected discounted penalty function for Lévy insurance risks
Stochastic optimal control of risk processes with Lipschitz payoff functions
On a multi-threshold compound Poisson process perturbed by diffusion
An application of fractional differential equations to risk theory
Refinements of two-sided bounds for renewal equations
On the threshold dividend strategy for a generalized jump-diffusion risk model
Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size
A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium

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