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

Authors: X. Sheldon Lin, Gordon E. Willmot 

Publication date: 26 October 2001

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

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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 (94)

• 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
• 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.
• 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 moments of the time of ruin in Markovian risk models
• 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
• 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
• 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
• Moments of deficit duration and its proportion in general compound binomial model
• 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
• Moments of the ruin time in a Lévy risk model
• 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
• An application of fractional differential equations to risk theory
• 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
• 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
• 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
• On the moments of iterated tail
• Upper bounds on the expected time to ruin and on the expected recovery time
• 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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