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

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)

Recommendations

On a class of discrete time renewal risk models
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On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
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Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts

Cites work

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

Cited in

(25)

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

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