Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin

DOI10.2143/AST.38.1.2030413zbMATH Open1169.91386OpenAlexW4248340764MaRDI QIDQ3395773FDOQ3395773

Authors: David C. M. Dickson 

Publication date: 13 September 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.1.2030413

Recommendations

• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• A note on some joint distribution functions involving the time of ruin
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• Title not available (Why is that?)
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims

Cited In (20)

• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Approximating the density of the time to ruin via Fourier-cosine series expansion
• On the Density and Moments of the Time of Ruin with Exponential Claims
• A note on some joint distribution functions involving the time of ruin
• Nonparametric estimation of the finite time ruin probability in the classical risk model
• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
• On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
• Finite time ruin problems for the Erlang\((2)\) risk model
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
• The Time to Ruin in Some Additive Risk Models with Random Premium Rates
• The finite time ruin probability in a risk model with capital injections
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin II
• The expected discounted penalty function: from infinite time to finite time
• Distributional study of finite-time ruin related problems for the classical risk model
• A two-dimensional risk model with proportional reinsurance

This page was built for publication: Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3395773)