On a class of discrete time renewal risk models
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Publication:3440861
DOI10.1080/03461230510009745zbMath1142.91043OpenAlexW1971417980MaRDI QIDQ3440861
Publication date: 29 May 2007
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230510009745
generating functionmartingalerecursive formulageneralized Lundberg equationSparre Andersen risk process\(K_m\) family of distributions
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Cites Work
- The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
- On ruin for the Erlang \((n)\) risk process
- Ruin probabilities for time-correlated claims in the compound binomial model.
- On the time to ruin for Erlang(2) risk processes.
- On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
- Ruin Probabilities in the Compound Markov Binomial Model
- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
- “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
- “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
- On the Time Value of Ruin
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