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

DOI10.1080/03461230510009808zbMath1143.91033MaRDI QIDQ3440863

Shuanming Li

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

zbMATH Keywords

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

60G40: Stopping times; optimal stopping problems; gambling theory

60K15: Markov renewal processes, semi-Markov processes

Related Items

Discrete time ruin probability with Parisian delay, On a class of renewal risk model with random income, Discrete Lundberg-type bounds with actuarial applications, The finite-time ruin probability under the compound binomial risk model, Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier, On the discounted penalty function in the discrete time stationary renewal risk model, On a discrete risk model with two-sided jumps, On the discrete-time compound renewal risk model with dependence, Discrete risk model revisited, On a discrete-time risk model with general income and time-dependent claims, A generalized penalty function for a class of discrete renewal processes, On the discounted penalty function in a discrete time renewal risk model with general interclaim times

Cites Work

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• Discounted probabilities and ruin theory in the compound binomial model
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
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