The ruin time under the Sparre Andersen dual model
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Publication:2015470
DOI10.1016/J.INSMATHECO.2013.10.012zbMATH Open1292.91096OpenAlexW2000725332MaRDI QIDQ2015470FDOQ2015470
Authors: Chen Yang, Kristina P. Sendova 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.012
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Cites Work
- The Time Value of Ruin in a Sparre Andersen Model
- Optimal dividends in the dual model
- On a dual model with a dividend threshold
- On the dual risk model with tax payments
- A Direct Approach to a First-Passage Problem with Applications in Risk Theory
- On the modification of Rouche's theorem for the queueing theory problems
Cited In (20)
- On the Parisian ruin of the dual Lévy risk model
- The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
- The Time Value of Ruin in a Sparre Andersen Model
- On the Sparre Andersen dual model perturbed by diffusion
- Ruin analysis of a threshold strategy in a discrete-time Sparre Andersen model
- Asymptotic analysis for optimal dividends in a dual risk model
- On finite-time ruin probabilities in a generalized dual risk model with dependence
- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- On the occupation times in a dual delayed Sparre Andersen risk model
- Duality in ruin problems for ordered risk models
- Ruin probabilities for the phase-type dual model perturbed by diffusion
- DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
- Sparre Andersen identity and the last passage time
- A delayed dual risk model
- Title not available (Why is that?)
- Some advances on the Erlang(\(n\)) dual risk model
- On a perturbed compound Poisson model with varying premium rates
- On dividends in the phase-type dual risk model
- The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
- The time of recovery and the maximum severity of ruin in a Sparre Andersen model
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