On the absolute ruin problem in a Sparre Andersen risk model with constant interest

DOI10.1016/j.insmatheco.2011.10.009zbMath1235.91100OpenAlexW2090050445MaRDI QIDQ2427823

Andrei L. Badescu, Ilie-Radu Mitric, David A. Stanford

Publication date: 18 April 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.009

zbMATH Keywords

Markovian arrival processGerber-Shiu discounted penalty functionabsolute ruinmatrix-exponential distribution

Mathematics Subject Classification ID

Related Items (2)

On the generalized Gerber-Shiu function for surplus processes with interest ⋮ The perturbed Sparre Andersen model with interest and a threshold dividend strategy

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• The probabilities of absolute ruin in the renewal risk model with constant force of interest
• On the time value of absolute ruin with debit interest
• A versatile Markovian point process
• Triangular order of triangular phase-type distributions^∗
• Ruin estimation for a general insurance risk model
• Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
• Ruin in the perturbed compound Poisson risk process under interest force
• On the Time Value of Ruin

This page was built for publication: On the absolute ruin problem in a Sparre Andersen risk model with constant interest