Appell pseudopolynomials and Erlang-type risk models

DOI10.1080/17442508.2013.872645MaRDI QIDQ2811099zbMATH OpenOpenAlexFDO

Authors Philippe Picard, Claude Lefèvre

Publication date 10 June 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2013.872645

zbMATH Keywords

order statisticsfinite-time ruin probabilityAppell polynomialsAppell pseudopolynomialsErlang-type distribution

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Stopping times; optimal stopping problems; gambling theory (60G40) Special polynomials in general fields (12E10)

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• A finite-time ruin probability formula for continuous claim severities

Cites work

• A finite-time ruin probability formula for continuous claim severities
• A new look at the homogeneous risk model
• A non-standard family of polynomials and the final size distribution of Reed-Frost epidemic processes
• A two-sided first-exit problem for a compound Poisson process with a random upper boundary
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• Approximating the first crossing-time density for a curved boundary
• Distributions of stopping times for poisson processes with linear boundaries
• Erlang risk models and finite time ruin problems
• Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
• First crossing of basic counting processes with lower non-linear boundaries: A unified approach through pseudopolynomials (I)
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• Homogeneous risk models with equalized claim amounts
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• The Busy Period of an M/G/1 Queue with Customer Impatience
• The distribution of general final state random variables for stochastic epidemic models
• The probability of ruin in finite time with discrete claim size distribution

Cited in

(9)

• Risk models in insurance and epidemics: a bridge through randomized polynomials
• Ruin probabilities for risk models with ordered claim arrivals
• Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
• Polynomials, random walks and risk processes: a multivariate framework
• First crossing time, overshoot and Appell-Hessenberg type functions
• Collective epidemics with asymptomatics and functional infection rates
• A nonhomogeneous risk model for insurance
• Approximating the probability density function of a transformation of random variables
• More for less insurance model: an alternative to (re)insurance

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