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

generalized Erlang(\(n\)) innovation timesgeneralized Lundberg equationLaplace transformSparre Andersen dual risk model

Mathematics Subject Classification ID

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

Review text

The paper deals with the Sparre Andersen dual risk model, where the times between positive gains are i.i.d. with a generalized Erlang(\(n\)) distribution. In particular, the authors derive a suitable homogeneous integro-differential equation related to the Laplace transform of the ruin time. Then the solution of the aforementioned equation is given, after the number of roots of the Lundberg equation has been studied. Finally, within the considered Sparre Andersen dual model, some results involving the expected discounted dividends are framed.

Recommendations

• On the Sparre Andersen dual model perturbed by diffusion
• Some advances on the Erlang(\(n\)) dual risk model
• Ruin problems in the generalized Erlang(n) risk model
• The Time Value of Ruin in a Sparre Andersen Model
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times

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

(22)

• Duality in ruin problems for ordered risk models
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier
• On a perturbed compound Poisson model with varying premium rates
• A delayed dual risk model
• Sparre Andersen identity and the last passage time
• Ruin analysis of a threshold strategy in a discrete-time Sparre Andersen model
• Some advances on the Erlang(\(n\)) dual risk model
• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• On dividends in the phase-type dual risk model
• On the Parisian ruin of the dual Lévy risk model
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model
• Asymptotic analysis for optimal dividends in a dual risk model
• Ruin probabilities for the phase-type dual model perturbed by diffusion
• On the Sparre Andersen dual model perturbed by diffusion
• On the occupation times in a dual delayed Sparre Andersen risk model
• DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
• scientific article; zbMATH DE number 5257238 (Why is no real title available?)
• The Time Value of Ruin in a Sparre Andersen Model
• Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
• First-passage properties of the jump process with a drift. Two exactly solvable cases
• First-passage properties of the jump process with a drift. The general case
• On finite-time ruin probabilities in a generalized dual risk model with dependence

This page was built for publication: The ruin time under the Sparre Andersen dual model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015470)