The moments of the time of ruin in Markovian risk models

DOI10.1080/10920277.2010.10597605MaRDI QIDQ3088979zbMATH OpenOpenAlexFDO

Authors David A. Stanford, Jiandong Ren, Kaiqi Yu

Publication date 23 August 2011

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2010.10597605

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• scientific article; zbMATH DE number 3783337 (Why is no real title available?)
• scientific article; zbMATH DE number 49326 (Why is no real title available?)
• Encyclopedia of statistical sciences. 16 Vols.
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• On the time to ruin for Erlang(2) risk processes.
• Risk processes analyzed as fluid queues
• Symbolic calculation of the moments of the time of ruin.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(12)

• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• Moments of the time to ruin in the stationary renewal risk process
• An IBNR-RBNS insurance risk model with marked Poisson arrivals
• Applications of fluid flow matrix analytic methods in ruin theory -- a review
• The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• Some ruin problems for the MAP risk model
• Some results about the expected ruin time in Markov-modulated risk models
• On a class of dependent Sparre Andersen risk models and a bailout application
• On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
• Localization of the spectrum and representation of solutions of linear dynamical systems
• Moments of claims in a Markovian environment

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