On the distribution of classic and some exotic ruin times

DOI10.1016/J.INSMATHECO.2019.08.002MaRDI QIDQ2010893zbMATH OpenOpenAlexWikidataFDO

Authors David Landriault, Bin Li, Tianxiang Shi, Di Xu

Publication date 28 November 2019

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2019.08.002

zbMATH Keywords

\(t\)-derferred Gerber-Shiu functionexotic ruinfinite-time ruinParisian ruinPoissonian ruin

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Actuarial mathematics (91G05)

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Cited in

(4)

• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Bridging the first and last passage times for Lévy models
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• On the area in the red of Lévy risk processes and related quantities

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