Distributional study of finite-time ruin related problems for the classical risk model
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Publication:1740157
DOI10.1016/j.amc.2017.07.054zbMath1427.91079OpenAlexW2743450057MaRDI QIDQ1740157
Publication date: 29 April 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2017.07.054
classical risk modelmaximum severity of ruintwo-sided first exit timefinite-time Gerber-Shiu functionmaximum surplus prior to ruin
Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05) Risk models (general) (91B05) Actuarial mathematics (91G05)
Related Items (7)
Finite-time ruin probabilities using bivariate Laguerre series ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ On the distribution of classic and some exotic ruin times ⋮ The expected discounted penalty function: from infinite time to finite time ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions
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