The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems

DOI10.1016/j.insmatheco.2005.11.005zbMath1168.60363OpenAlexW2076828186MaRDI QIDQ2499831

David C. M. Dickson, Shuanming Li

Publication date: 14 August 2006

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

Full work available at URL: http://hdl.handle.net/11343/34358

zbMATH Keywords

integro-differential equationdividendsmaximum severity of ruinSparre Andersen risk modelErlang inter-claim timesmaximum surplus before ruin

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (17)

Ruin problems in the generalized Erlang(\(n\)) risk model ⋮ Further developments in the Erlang(n) risk process ⋮ The maximum surplus before ruin for dependent risk models through Farlie–Gumbel–Morgenstern copula ⋮ Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang ⋮ The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ The maximum surplus distribution before ruin in an Erlang(\(n\)) risk process perturbed by diffusion ⋮ Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ The maximum surplus before ruin for two classes of perturbed risk model ⋮ A risk model with paying dividends and random environment ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ The distribution of total dividend payments in a Sparre Andersen model ⋮ A note on a generalized discounted penalty function in a Sparre Andersen risk model perturbed by diffusion ⋮ Application of Advanced Integrodifferential Equations in Insurance Mathematics and Process Engineering ⋮ Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model ⋮ The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model

Cites Work

• On ruin for the Erlang \((n)\) risk process
• Aspects of risk theory
• Ruin probabilities for Erlang (2) risk processes
• On some measures of the severity of ruin in the classical Poisson model
• On a class of renewal risk models with a constant dividend barrier
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Some Optimal Dividends Problems
• The Time Value of Ruin in a Sparre Andersen Model

This page was built for publication: The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems