The time to ruin and the number of claims until ruin for phase-type claims
From MaRDI portal
Publication:2444703
DOI10.1016/j.insmatheco.2012.02.013zbMath1284.91232MaRDI QIDQ2444703
Esther Frostig, Konstadinos Politis, Susan M. Pitts
Publication date: 10 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.013
duality; ruin time; renewal risk model; deficit at ruin; extended negative binomial distribution; number of claims to ruin
60K10: Applications of renewal theory (reliability, demand theory, etc.)
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
Related Items
Drawdown analysis for the renewal insurance risk process, Parisian ruin probability - the De Vylder type approximation, On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model, Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims, A note on ruin problems in perturbed classical risk models, The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model, On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures, Number of claims and ruin time for a refracted risk process, Parisian ruin with Erlang delay and a lower bankruptcy barrier, Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps, A state dependent reinsurance model, Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times, On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes, Moments of the ruin time in a Lévy risk model, The Gerber-Shiu discounted penalty function: a review from practical perspectives
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
- Finite time ruin problems for the Erlang\((2)\) risk model
- Markov-modulated PH/G/1 queueing systems
- Markov-modulated queueing systems
- On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
- On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
- Computational methods in risk theory: a matrix-algorithmic approach
- How many claims does it take to get ruined and recovered?
- On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
- New results on the single server queue with a batch markovian arrival process
- Upper bounds on the expected time to ruin and on the expected recovery time
- On the Distribution of the Deficit at Ruin when Claims are Phase-type
- Risk processes analyzed as fluid queues
- Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
- On the Time Value of Ruin
- Loss Models