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

DOI10.1080/10920277.2007.10597471zbMATH Open1480.91079OpenAlexW2056528394MaRDI QIDQ5019751FDOQ5019751

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

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Mathematics Subject Classification ID

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

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• The Time Value of Ruin in a Sparre Andersen Model
• Title not available (Why is that?)
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in a Markov-dependent risk model
• Ruin probabilities for Erlang (2) risk processes
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Phase-type representations in random walk and queueing problems
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• On the distribution of the surplus prior to ruin
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process

Cited In (26)

• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
• The stationary bootstrap for the joint distribution of sum and maximum of stationary sequences
• The surplus prior to ruin and the deficit at ruin for a correlated risk process
• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
• Analysis of the discounted sum of ascending ladder heights
• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• 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
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian 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
• The tax identity for Markov additive risk processes
• A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model
• On dividends in the phase–type dual risk model
• 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
• The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen 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
• 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.
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier

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