On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
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Publication:1430677
DOI10.1016/j.insmatheco.2003.10.001zbMath1054.60017OpenAlexW2025672672MaRDI QIDQ1430677
Publication date: 27 May 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.10.001
Ruin probabilityErlang(2) processThe joint distribution of surplus immediately before ruin and the deficit at ruin
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Related Items (12)
On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy ⋮ The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ The Time Value of Ruin in a Sparre Andersen Model ⋮ On a class of renewal risk models with a constant dividend barrier ⋮ On the expected discounted penalty functions for two classes of risk processes ⋮ Overshoots and undershoots of Lévy processes ⋮ On the renewal risk model under a threshold strategy ⋮ On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times ⋮ On a class of discrete time renewal risk models ⋮ Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models ⋮ On the discounted penalty function in a Markov-dependent risk model
Cites Work
- Ruin probabilities for Erlang (2) risk processes
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- On the time to ruin for Erlang(2) risk processes.
- Ruin Problems for Phase-Type(2) Risk Processes
- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
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