A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model

DOI10.1016/j.spl.2008.08.015zbMath1169.62088OpenAlexW2068143889MaRDI QIDQ1003786

Jiandong Ren

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.08.015

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• On the discounted penalty function in the renewal risk model with general interclaim times
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• On the time to ruin for Erlang(2) risk processes.
• Applied Probability and Queues
• The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model
• “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model”, Jiandong Ren, July 2007
• “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• 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 the Time Value of Ruin

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