Erlang risk models and finite time ruin problems

DOI10.1080/03461238.2010.499261zbMath1277.91081MaRDI QIDQ2866304

David C. M. Dickson, Shuanming Li

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2010.499261

zbMATH Keywords

joint distribution; deficit at ruin; time of ruin; Erlang risk models

Mathematics Subject Classification ID

60K10: Applications of renewal theory (reliability, demand theory, etc.)

Related Items

APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION, Nonparametric estimation of the finite time ruin probability in the classical risk model, Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions, The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model, Appell pseudopolynomials and Erlang-type risk models

Cites Work

• Finite time ruin problems for the Erlang\((2)\) risk model
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the time to ruin for Erlang(2) risk processes.
• The expected discounted penalty at ruin in the Erlang (2) risk process
• On the Ruin Problem of Collective Risk Theory
• Computational Methods for Integral Equations
• On the Density and Moments of the Time of Ruin with Exponential Claims
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The Time Value of Ruin in a Sparre Andersen Model