Direct derivation of finite-time ruin probabilities in the discrete risk model with exponential or geometric claims

DOI10.1080/10920277.2006.10597426MaRDI QIDQ5018750zbMATH OpenOpenAlexFDO

Authors Lianzeng Zhang, Wai Sum Chan

Publication date 22 December 2021

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2006.10597426

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Recursive calculation of finite-time ruin probabilities
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function

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• Local limit theorems for collective risk models
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Ruin probabilities as recurrence sequences in a discrete-time risk process
• Premium pricing under a ruin probability with policy deductible or with benefit limit
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