The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

DOI10.1016/S0167-6687(00)00038-XzbMATH Open0971.91031MaRDI QIDQ1584582FDOQ1584582

X. Sheldon Lin, Gordon E. Willmot

Publication date: 26 October 2001

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

zbMATH Keywords

ruin probabilitydeficit at ruintime of ruinrenewal equationsurplus processcompound geometric

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Cites Work

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• On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
• Approximate solutions of severity of ruins
• Corrigendum to: The moments of ruin time in the classical risk model with discrete claim size distribution

Cited In (91)

• On a risk model with random incomes and dependence between claim sizes and claim intervals
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• Pricing perpetual American catastrophe put options: A penalty function approach
• Computing the Gerber–Shiu function by frame duality projection
• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Some characteristics of a surplus process in the presence of an upper barrier.
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
• Asymptotics of discounted aggregate claims for renewal risk model with risky investment
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• A note on deficit analysis in dependency models involving Coxian claim amounts
• Approximations for moments of deficit at ruin with exponential and subexponential claims.
• On the time to ruin for Erlang(2) risk processes.
• Analysis of some ruin-related quantities in a Markov-modulated risk model
• On a class of renewal risk model with random income
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in the renewal risk model with general interclaim times
• Moments of the time of ruin, surplus before ruin and the deficit at ruin in the Erlang(N) risk process
• On the moments of ruin and recovery times
• Moments of the ruin time in a Lévy risk model
• Optimal investment strategies for an insurer with liquid constraint
• Some ruin problems for the MAP risk model
• Approximations for the moments of ruin time in the compound Poisson model
• The compound Poisson risk model with a threshold dividend strategy
• When does surplus reach a certain level before ruin?
• How many claims does it take to get ruined and recovered?
• On the discounted penalty function in a Markov-dependent risk model
• 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 moments of the surplus process perturbed by diffusion.
• A note on a class of delayed renewal risk processes
• Symbolic calculation of the moments of the time of ruin.
• An application of fractional differential equations to risk theory
• On the Gerber-Shiu discounted penalty function in a risk model with delayed claims
• On a risk measure inspired from the ruin probability and the expected deficit at ruin
• The finite time ruin probability in a risk model with capital injections
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• On asymptotics of deficit distribution and its moments at the time of ruin
• Analysis of a defective renewal equation arising in ruin theory
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Lundberg-type bounds and asymptotics for the moments of the time to ruin
• On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• On the expected discounted penalty function at ruin of a surplus process with interest.
• On the expected discounted penalty function for the continuous-time compound binomial risk model
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• An insurance risk model with stochastic volatility
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
• On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• The Moments of the Time of Ruin in Markovian Risk Models
• Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
• Distributional study of finite-time ruin related problems for the classical risk model
• Applications of the classical compound Poisson model with claim sizes following a compound distribution
• On the Gerber-Shiu function and change of measure
• Upper bounds on the expected time to ruin and on the expected recovery time
• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions
• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• Analysis of the discounted sum of ascending ladder heights
• A QUANTILE-BASED PROBABILISTIC MEAN VALUE THEOREM
• Fourier-cosine method for Gerber-Shiu functions
• Optimal investment for an insurer under liquid reserves
• A surplus process involving a compound Poisson counting process and applications
• The two-barrier escape problem for compound renewal processes with two-sided jumps
• Gerber-Shiu analysis with two-sided acceptable levels
• \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
• On the Gerber–Shiu function with random discount rate
• Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
• APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
• On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
• Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
• Ruin probability and time of ruin with a proportional reinsurance threshold strategy
• A METHOD FOR CONSTRUCTING AND INTERPRETING SOME WEIGHTED PREMIUM PRINCIPLES
• Discrete time ruin probability with Parisian delay
• Equilibrium Distributions of Discrete Phase Type
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
• EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION
• More for less insurance model: an alternative to (re)insurance
• On the integrated tail of the deficit in the renewal risk model
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
• A gamma kernel density estimation for insurance loss data

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