The ruin time under the Sparre Andersen dual model
From MaRDI portal
Publication:2015470
DOI10.1016/j.insmatheco.2013.10.012zbMath1292.91096OpenAlexW2000725332MaRDI QIDQ2015470
Kristina P. Sendova, Chen Yang
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
Laplace transformgeneralized Lundberg equationgeneralized Erlang(\(n\)) innovation timesSparre Andersen dual risk model
Related Items
Asymptotic analysis for optimal dividends in a dual risk model ⋮ On a perturbed compound Poisson model with varying premium rates ⋮ SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL ⋮ Ruin probabilities for the phase-type dual model perturbed by diffusion ⋮ On dividends in the phase–type dual risk model ⋮ Duality in ruin problems for ordered risk models ⋮ A delayed dual risk model ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ On finite-time ruin probabilities in a generalized dual risk model with dependence
Cites Work
- On the dual risk model with tax payments
- Optimal dividends in the dual model
- On a dual model with a dividend threshold
- A Direct Approach to a First-Passage Problem with Applications in Risk Theory
- The Time Value of Ruin in a Sparre Andersen Model
- On the modification of Rouche's theorem for the queueing theory problems
