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

DOI10.2143/AST.38.1.2030413MaRDI QIDQ3395773zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims

Cited in

(20)

• Approximating the density of the time to ruin via Fourier-cosine series expansion
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• 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
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• 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
• Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin II
• Distributional study of finite-time ruin related problems for the classical risk model
• The expected discounted penalty function: from infinite time to finite time
• A two-dimensional risk model with proportional reinsurance

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