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

DOI10.1016/S0167-6687(00)00038-XMaRDI QIDQ1584582zbMATH OpenFDO

Authors 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)

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Cites work

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• scientific article; zbMATH DE number 805121 (Why is no real title available?)
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• From ruin theory to pricing reset guarantees and perpetual put options
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• On a class of approximations for ruin and waiting time probabilities
• On the Distribution of the Surplus Prior and at Ruin
• On the Time Value of Ruin
• On the distribution of the duration of negative surplus
• On the distribution of the surplus prior to ruin
• Preservation of certain classes of life distributions under Poisson shock models
• Simplified bounds on the tails of compound distributions
• Tail of compound distributions and excess time
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The moments of ruin time in the classical risk model with discrete claim size distribution
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations

Cited in

(95)

• On a class of renewal risk model with random income
• A note on a class of delayed renewal risk processes
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
• A note on deficit analysis in dependency models involving Coxian claim amounts
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• Symbolic calculation of the moments of the time of ruin.
• Lundberg-type bounds and asymptotics for the moments of the time to ruin
• Optimal investment strategies for an insurer with liquid constraint
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• On the expected discounted penalty function at ruin of a surplus process with interest.
• On a risk model with random incomes and dependence between claim sizes and claim intervals
• The moments of the time of ruin in Markovian risk models
• On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
• Asymptotics of discounted aggregate claims for renewal risk model with risky investment
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• On ruin for the Erlang \((n)\) risk process
• On asymptotics of deficit distribution and its moments at the time of ruin
• Computing the Gerber-Shiu function by frame duality projection
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• Approximations for the moments of ruin time in the compound Poisson model
• Distributional study of finite-time ruin related problems for the classical risk model
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• On the discounted penalty function in the renewal risk model with general interclaim times
• Approximations for moments of deficit at ruin with exponential and subexponential claims.
• On the expected discounted penalty function for the continuous-time compound binomial risk model
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Analysis of a defective renewal equation arising in ruin theory
• On the Gerber-Shiu function and change of measure
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Applications of the classical compound Poisson model with claim sizes following a compound distribution
• On the time to ruin for Erlang(2) risk processes.
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• Moments of the time of ruin, surplus before ruin and the deficit at ruin in the Erlang(N) risk process
• 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 compound Poisson risk model with a threshold dividend strategy
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• 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
• On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
• Some ruin problems for the MAP risk model
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Some characteristics of a surplus process in the presence of an upper barrier.
• Analysis of some ruin-related quantities in a Markov-modulated risk model
• Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
• 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 moments of ruin and recovery times
• On the expected discounted penalty function for the compound Poisson risk model with delayed claims
• When does surplus reach a certain level before ruin?
• On the discounted penalty function in a Markov-dependent risk model
• How many claims does it take to get ruined and recovered?
• Pricing perpetual American catastrophe put options: A penalty function approach
• On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• On the moments of the surplus process perturbed by diffusion.
• On the discounted penalty function in a perturbed Erlang renewal risk model with dependence
• On the Gerber-Shiu discounted penalty function in a risk model with delayed claims
• More for less insurance model: an alternative to (re)insurance
• Moments of the ruin time in a Lévy risk model
• Equilibrium distributions of discrete phase type
• A method for constructing and interpreting some weighted premium principles
• On the integrated tail of the deficit in the renewal risk model
• Optimal investment for an insurer under liquid reserves
• On the moments of iterated tail
• A quantile-based probabilistic mean value theorem
• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin in the risk models with constant interest rate
• Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
• Fourier-cosine method for Gerber-Shiu functions
• Fourier-cosine method for finite-time Gerber-Shiu functions
• On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
• An application of fractional differential equations to risk theory
• Upper bounds on the expected time to ruin and on the expected recovery time
• Approximating the density of the time to ruin via Fourier-cosine series expansion
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
• Discrete time ruin probability with Parisian delay
• 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
• Ruin probability and time of ruin with a proportional reinsurance threshold strategy
• A surplus process involving a compound Poisson counting process and applications
• Moments of deficit duration and its proportion in general compound binomial model
• 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
• Moments of the time to ruin in the stationary renewal risk process
• On the Gerber–Shiu function with random discount rate
• Analysis of the discounted sum of ascending ladder heights
• A gamma kernel density estimation for insurance loss data
• Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach

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