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

DOI10.1016/j.insmatheco.2015.12.005zbMath1348.91141OpenAlexW2216304186MaRDI QIDQ282279

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)

Related Items

Finite-time ruin probabilities using bivariate Laguerre series, A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model, Distributional study of finite-time ruin related problems for the classical risk model, On the distribution of classic and some exotic ruin times, The expected discounted penalty function: from infinite time to finite time, Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation

Cites Work

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