The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model

DOI10.1080/10920277.2007.10597471MaRDI QIDQ5019751zbMATH OpenOpenAlexFDO

Authors Jiandong Ren

Publication date 10 January 2022

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

Full work available at URL https://doi.org/10.1080/10920277.2007.10597471

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in a Markov-dependent risk model
• On the distribution of the surplus prior to ruin
• On the time to ruin for Erlang(2) risk processes.
• Phase-type representations in random walk and queueing problems
• Ruin probabilities for Erlang (2) risk processes
• The Time Value of Ruin in a Sparre Andersen Model
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Cited in

(29)

• The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model
• The stationary bootstrap for the joint distribution of sum and maximum of stationary sequences
• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
• The surplus prior to ruin and the deficit at ruin for a correlated risk process
• Analysis of the discounted sum of ascending ladder heights
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• A joint density function in phase-type (2) risk models
• The Discounted Moments of the Surplus After the Last Innovation Before Ruin Under the Dual Risk Model
• The distribution of total dividend payments in a Sparre Andersen model
• A joint density function in the renewal risk model
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
• Some ruin problems for the MAP risk model
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• On the total operating costs up to default in a renewal risk model
• A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
• The tax identity for Markov additive risk processes
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• “The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008
• “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
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• On dividends in the phase-type dual risk model
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier

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