Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models

DOI10.1080/03461230510009808zbMATH Open1143.91033OpenAlexW2090814798MaRDI QIDQ3440863FDOQ3440863

Publication date: 29 May 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230510009808

Recommendations

On a class of discrete time renewal risk models
On the distribution of the claim causing ruin
On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
The finite-time ruin probability under the compound binomial risk model
Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts

Gerber-Shiu function surplus before ruin deficit at ruin Sparre Andersen risk process compound geometric distribution claim causing ruin \(K_m\) family of distributions

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

On the time to ruin for Erlang(2) risk processes.
On ruin for the Erlang \((n)\) risk process
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
Discounted probabilities and ruin theory in the compound binomial model
Ruin probabilities in the compound binomial model
The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
Analysis of a defective renewal equation arising in ruin theory
On the distribution of the surplus prior to ruin
A laplace transform representation in a class of renewal queueing and risk processes
On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.

Cited In (25)

An approximation of minimum initial capital of investment discrete time surplus process with Weibull distribution in a reinsurance company
Reliability of a discrete-time system with investment
Discrete risk model revisited
Discrete Lundberg-type bounds with actuarial applications
On a class of renewal risk model with random income
Exact and approximate properties of the distribution of surplus before and after ruin
Ruin probability for finite negative binomial mixture claims via recurrence sequences
On the discounted penalty function in the discrete time stationary renewal risk model
Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
On a discrete risk model with two-sided jumps
On the discounted penalty function in a discrete time renewal risk model with general interclaim times
“On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009
A generalized penalty function for a class of discrete renewal processes
The finite-time ruin probability under the compound binomial risk model
On a discrete-time risk model with general income and time-dependent claims
Ruin probabilities of a continuous-time Sparre Andersen model with inter-claim times distributed as discrete phase-type
Discrete time ruin probability with Parisian delay
On the deficit distribution when ruin occurs -- discrete time model
On the discrete-time compound renewal risk model with dependence
Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
On the distribution of the claim causing ruin
Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier
A threshold-based risk process with a waiting period to pay dividends
Approximations of the ruin probability in a discrete time risk model

This page was built for publication: Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3440863)