A note on some joint distribution functions involving the time of ruin

DOI10.1016/J.INSMATHECO.2015.12.005MaRDI QIDQ282279zbMATHOpenAlexFDO

Authors David C. M. Dickson

Publication date 12 May 2016

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

Full work available at URL http://hdl.handle.net/11343/120632

zbMATH Keywords

deficit at ruinjoint distribution functionMAP risk modelsurplus prior to ruintime of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Joint distributions of some actuarial random vectors containing the time of ruin
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin

Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3063489 (Why is no real title available?)
• Explicit Solutions for Survival Probabilities in the Classical Risk Model
• On a partial integrodifferential equation of Seal's type
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• On the Laplace transform of the aggregate discounted claims with Markovian arrivals
• On the Ruin Problem of Collective Risk Theory
• On the discounted penalty function in the renewal risk model with general interclaim times
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• Risk processes analyzed as fluid queues
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• Some ruin problems for the MAP risk model
• The Density of the Time to Ruin in the Classical Poisson Risk Model

Cited in

(11)

• Finite-time ruin probabilities using bivariate Laguerre series
• A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• Distributional study of finite-time ruin related problems for the classical risk model
• Discussion on the joint distribution of the time of ruin and the loss at ruin
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• The joint distribution of a risk model with random income
• The expected discounted penalty function: from infinite time to finite time
• On the distribution of classic and some exotic ruin times
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation

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