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

DOI10.1016/J.SPL.2008.08.015zbMATH Open1169.62088OpenAlexW2068143889MaRDI QIDQ1003786FDOQ1003786

Authors: 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

Recommendations

• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• On the discounted penalty function in a discrete time renewal risk model with general interclaim times
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• The Time Value of Ruin in a Sparre Andersen Model
• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model

Mathematics Subject Classification ID

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

Cites Work

• Applied Probability and Queues
• On the time to ruin for Erlang(2) risk processes.
• Title not available (Why is that?)
• The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model
• The Time Value of Ruin in a Sparre Andersen Model
• Title not available (Why is that?)
• Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
• On the Time Value of Ruin
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• “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 a general class of renewal risk process: analysis of the Gerber-Shiu function
• On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
• “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model”, Jiandong Ren, July 2007
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model

This page was built for publication: A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1003786)