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

DOI10.1016/J.INSMATHECO.2011.12.003zbMATH Open1237.91125OpenAlexW1986178529MaRDI QIDQ414592FDOQ414592

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

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• A note on some joint distribution functions involving the time of ruin
• The time to ruin and the number of claims until ruin for phase-type claims

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• How many claims does it take to get ruined and recovered?
• On the Time Value of Ruin
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• On the Ruin Problem of Collective Risk Theory
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• On the discounted penalty function in a Markov-dependent risk model
• Title not available (Why is that?)
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Mathematical fun with ruin theory
• Optimal Dynamic Reinsurance

Cited In (30)

• 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
• The joint distribution of ruin related quantities in the classical risk model
• A note on some joint distribution functions involving the time of ruin
• On a Joint Distribution of the Ruin Time and the Number of the Payment which Leads to a Ruin in a Nonhomogeneous Risk Process
• On the distribution of classic and some exotic ruin times
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• 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
• Finite-time ruin probabilities using bivariate Laguerre series
• How many claims does it take to get ruined and recovered?
• “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
• On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures
• 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 the time and the number of claims when the surplus drops below a certain level
• On a partial integrodifferential equation of Seal's type
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• On periodic dividends for the classical risk model with debit interest
• Joint density of the number of claims until ruin and the time to ruin in the generalized Erlang(2) risk model
• On a spectrally negative Lévy risk process with periodic dividends and capital injections
• On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model
• Title not available (Why is that?)
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• Joint distributions of some ruin related quantities in the compound binomial risk model

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