The probability and severity of ruin for combinations of exponential claim amount distributions and their translations

discrete time model time of ruin probability of ruin severity of ruin collective risk theory combination of exponential distributions classical compound Poisson model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

scientific article; zbMATH DE number 4049940 (Why is no real title available?)
scientific article; zbMATH DE number 3613367 (Why is no real title available?)
The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
The probability of ruin for the inverse Gaussian and related processes

Cited in

(36)

The surpluses immediately before and at ruin, and the amount of the claim causing ruin
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
Ruin problems for a discrete time risk model with random interest rate
On the expectations of the present values of the time of ruin perturbed by diffusion.
Valuing equity-linked death benefits in jump diffusion models
On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model
scientific article; zbMATH DE number 6347250 (Why is no real title available?)
The Time Value of Ruin in a Sparre Andersen Model
On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
Valuing equity-linked death benefits in a regime-switching framework
scientific article; zbMATH DE number 5926319 (Why is no real title available?)
Recursive calculation of the probability and severity of ruin
Approximations for moments of deficit at ruin with exponential and subexponential claims.
A note on the Taylor series expansions for multivariate characteristics of classical risk processes
Analysis of a defective renewal equation arising in ruin theory
On the Distribution of the Deficit at Ruin when Claims are Phase-type
Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
Taylor-series expansion for multivariate characteristics of classical risk processes
On a risk measure inspired from the ruin probability and the expected deficit at ruin
The probability of ruin in a discrete semi-Markov risk model
On the ruin probability of an insurance company when the claim sizes are distributed as a mixture of exponential distributions.
Discussion on “On Cramér’s First Contributions to Ruin Theory,” by Ennio Badolati and Sandra Ciccone, Volume 21(2)
Optimal prevention of large risks with two types of claims
On the severity of ruin in a Markov-modulated risk model
On the distribution of surplus immediately after ruin under interest force
Approximate solutions of severity of ruins
Modeling of claim severity through the mixture of exponential distribution and computation of its probability of ultimate ruin
On the ruin probability of an insurance company in the case of claim sizes distributed as a mixture of shifted exponential distributions.
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
Ladder height distributions with marks
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
Ruin Probability for the Integrated Gaussian Process with Force of Interest
Exact and approximate properties of the distribution of surplus before and after ruin
Computing the finite-time expected discounted penalty function for a family of Lévy risk processes

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