The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.

DOI10.1016/J.INSMATHECO.2003.11.003MaRDI QIDQ1430675zbMATH OpenOpenAlexFDO

Authors David C. M. Dickson, Steve Derkic

Publication date 27 May 2004

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11343/33767

zbMATH Keywords

Joint density functionRuinSparre Andersen risk model

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

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Cites work

• Exact and approximate properties of the distribution of surplus before and after ruin
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• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• On the distribution of the surplus prior to ruin
• Ruin Problems for Phase-Type(2) Risk Processes
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003

Cited in

(25)

• On the renewal risk model under a threshold strategy
• On the discounted distribution functions for the Erlang(2) risk process
• Ruin probability and time of ruin with a proportional reinsurance threshold strategy
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• On a class of renewal risk models with a constant dividend barrier
• On the expected discounted penalty functions for two classes of risk processes
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Overshoots and undershoots of Lévy processes
• A joint density function in the renewal risk model
• BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
• A joint density function in phase-type (2) risk models
• A risk model with multilayer dividend strategy
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
• Bayesian estimation of finite time ruin probabilities
• The surplus prior to ruin and the deficit at ruin for a correlated risk process
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• 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
• The maximum surplus distribution before ruin in an Erlang(n) risk process perturbed by diffusion
• On the total operating costs up to default in a renewal risk model
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• On the discounted penalty function in a Markov-dependent risk model
• On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times

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