Discounted aggregate claim costs until ruin in the discrete-time renewal risk model

DOI10.1007/S11009-018-9618-3MaRDI QIDQ1739342zbMATH OpenOpenAlexFDO

Publication date 26 April 2019

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-018-9618-3

claim causing ruin covariance discounted aggregate claims until ruin discounted moment-based joint distribution discrete Coxian \((K_n)\) distribution discrete sparre Andersen renewal risk process higher moments

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

A Bivariate Geometric Distribution with Applications to Reliability
A generalized penalty function for a class of discrete renewal processes
A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
A note on deficit analysis in dependency models involving Coxian claim amounts
A Primer on Copulas for Count Data
A ruin model with dependence between claim sizes and claim intervals
A unified analysis of claim costs up to ruin in a Markovian arrival risk model
Classical numerical ruin probabilities
Discounted probabilities and ruin theory in the compound binomial model
Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
Gerber-Shiu analysis with a generalized penalty function.
Loss Models
Moment-based approximations of distributions using mixtures: Theory and applications
Moments of compound renewal sums with discounted claims
Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
On a class of discrete time renewal risk models
On the analysis of a general class of dependent risk processes
On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
On the discounted penalty function in the renewal risk model with general interclaim times
On the discrete-time compound renewal risk model with dependence
On the expectation of total discounted operating costs up to default and its applications
On the time to ruin for Erlang(2) risk processes.
On the Time Value of Ruin
On the total operating costs up to default in a renewal risk model
Recursive Moments of Compound Renewal Sums with Discounted Claims
Ruin probabilities in the compound binomial model

Cited in

(8)

Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm
Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
Risk aggregation and stochastic claims reserving in disability insurance
On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
On a discrete-time risk model with time-dependent claims and impulsive dividend payments
Asymptotics of discounted aggregate claims for renewal risk model with risky investment
Compound binomial risk model with random income in Markov chain environment

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