Ruin Problems for Phase-Type(2) Risk Processes

DOI10.1080/034612300750066836zbMath0971.91036OpenAlexW2161068659MaRDI QIDQ2739860

Christian Hipp, David C. M. Dickson

Publication date: 16 September 2001

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/034612300750066836

zbMATH Keywords

phase-type distributionruin probabilityseverity of ruinsurplus prior to ruinSparre Andersen risk model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model, On the discounted distribution functions for the Erlang(2) risk process, RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS, On the time to ruin for Erlang(2) risk processes., Compound geometric residual lifetime distributions and the deficit at ruin., The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models., On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes., Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process, On a class of renewal risk models with a constant dividend barrier, The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model, Martingales and the distribution of the time to ruin., On a multi-threshold compound Poisson surplus process with interest

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