The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model

DOI10.1016/J.INSMATHECO.2011.12.003MaRDI QIDQ414592zbMATH OpenOpenAlexFDO

Authors David C. M. Dickson

Publication date 11 May 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.12.003

Mathematics Subject Classification ID

Recommendations

• Joint density of the number of claims until ruin and the time to ruin in the generalized Erlang(2) risk model
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Cites work

• scientific article; zbMATH DE number 2130681 (Why is no real title available?)
• scientific article; zbMATH DE number 718142 (Why is no real title available?)
• How many claims does it take to get ruined and recovered?
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Mathematical fun with ruin theory
• On the Ruin Problem of Collective Risk Theory
• On the Time Value of Ruin
• On the discounted penalty function in a Markov-dependent risk model
• Optimal Dynamic Reinsurance
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(30)

• Joint distributions of some ruin related quantities in the compound binomial risk model
• 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 evaluation of expected penalties at claim instants that cause ruin in the classical risk model
• The time to ruin and the number of claims until ruin for phase-type claims
• Number of claims and ruin time for a refracted risk process
• A note on some joint distribution functions involving the time of ruin
• The joint distribution of ruin related quantities in the classical risk model
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• On the distribution of classic and some exotic ruin times
• On a Joint Distribution of the Ruin Time and the Number of the Payment which Leads to a Ruin in a Nonhomogeneous Risk Process
• A surplus process involving a compound Poisson counting process and applications
• Gerber-Shiu analysis of a risk model with capital injections
• Joint distributions of some actuarial random vectors containing the time of ruin
• Some ruin problems for the MAP risk model
• How many claims does it take to get ruined and recovered?
• Finite-time ruin probabilities using bivariate Laguerre series
• On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures
• “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
• Number of jumps in two-sided first-exit problems for a compound Poisson process
• A note on ruin problems in perturbed classical risk models
• The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
• On a partial integrodifferential equation of Seal's type
• On the time and the number of claims when the surplus drops below a certain level
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• Joint density of the number of claims until ruin and the time to ruin in the generalized Erlang(2) risk model
• On periodic dividends for the classical risk model with debit interest
• On a spectrally negative Lévy risk process with periodic dividends and capital injections
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model
• scientific article; zbMATH DE number 1932260 (Why is no real title available?)

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