The moments of the time of ruin in Markovian risk models

DOI10.1080/10920277.2010.10597605zbMATH Open1219.91072OpenAlexW2000073253MaRDI QIDQ3088979FDOQ3088979

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

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Mathematics Subject Classification ID

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

Cites Work

• Introduction to Matrix Analytic Methods in Stochastic Modeling
• On the time to ruin for Erlang(2) risk processes.
• Title not available (Why is that?)
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Risk processes analyzed as fluid queues
• Encyclopedia of statistical sciences. 16 Vols.
• Title not available (Why is that?)
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Symbolic calculation of the moments of the time of ruin.
• 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

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
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
• 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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