The ruin time under the Sparre Andersen dual model

DOI10.1016/J.INSMATHECO.2013.10.012MaRDI QIDQ2015470zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Laplace transformgeneralized Lundberg equationgeneralized Erlang(\(n\)) innovation timesSparre Andersen dual risk model

Mathematics Subject Classification ID

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

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Cites work

• A Direct Approach to a First-Passage Problem with Applications in Risk Theory
• On a dual model with a dividend threshold
• On the dual risk model with tax payments
• On the modification of Rouche's theorem for the queueing theory problems
• Optimal dividends in the dual model
• The Time Value of Ruin in a Sparre Andersen Model

Cited in

(20)

• The time of recovery and the maximum severity of ruin in a Sparre Andersen model
• 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
• On finite-time ruin probabilities in a generalized dual risk model with dependence
• Asymptotic analysis for optimal dividends in a dual risk model
• Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
• Duality in ruin problems for ordered risk models
• On the occupation times in a dual delayed Sparre Andersen risk model
• 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
• scientific article; zbMATH DE number 5257238 (Why is no real title available?)
• 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

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