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

DOI10.1016/J.INSMATHECO.2015.12.005zbMATH Open1348.91141OpenAlexW2216304186MaRDI QIDQ282279FDOQ282279

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

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
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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)

Cites Work

• Title not available (Why is that?)
• Explicit Solutions for Survival Probabilities in the Classical Risk Model
• On the discounted penalty function in the renewal risk model with general interclaim times
• On a partial integrodifferential equation of Seal's type
• On the Ruin Problem of Collective Risk Theory
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Risk processes analyzed as fluid queues
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• Title not available (Why is that?)
• Some ruin problems for the MAP risk model

Cited In (10)

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

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