The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model

DOI10.1080/10920277.2007.10597471zbMath1480.91079MaRDI QIDQ5019751

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

60K10: Applications of renewal theory (reliability, demand theory, etc.)

91B05: Risk models (general)

Related Items

On dividends in the phase–type dual risk model, The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model, “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, The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds, On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk 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, On the total operating costs up to default in a renewal risk model, A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model, The Gerber-Shiu penalty functions for two classes of renewal risk processes, Some ruin problems for the MAP risk model, The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times, A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model, The distribution of total dividend payments in a Sparre Andersen model, The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier, Analysis of the discounted sum of ascending ladder heights, The tax identity for Markov additive risk processes, A unified analysis of claim costs up to ruin in a Markovian arrival risk model

Cites Work

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