“The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model”, Jiandong Ren, July 2007

DOI10.1080/10920277.2007.10597472zbMATH Open1480.91078OpenAlexW1996828165MaRDI QIDQ5019752FDOQ5019752

Bangwon Ko

Publication date: 10 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597472

Mathematics Subject Classification ID

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

Cites Work

• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• Title not available (Why is that?)

Cited In (6)

• The Gerber-Shiu penalty functions for two classes of renewal risk processes
• 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 Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier

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