On orderings and bounds in a generalized Sparre Andersen risk model
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Publication:2862420
DOI10.1002/asmb.837zbMath1274.60050OpenAlexW2162001672MaRDI QIDQ2862420
Gordon E. Willmot, David Landriault, Eric C. K. Cheung, Jae-Kyung Woo
Publication date: 15 November 2013
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.837
stochastic orderingNBUNWUGerber-Shiu functionSparre Andersen risk modellast interclaim timeclaim causing ruinlast ladder height
Related Items (6)
On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes ⋮ A series expansion formula of the scale matrix with applications in CUSUM analysis ⋮ On the analysis of a general class of dependent risk processes ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
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