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

DOI10.1080/10920277.2008.10597513zbMath1481.91047MaRDI QIDQ5022537

Andrei L. Badescu

Publication date: 19 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597513

Mathematics Subject Classification ID

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

91B05: Risk models (general)

Related Items

“The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008, “On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren, April 2008, “The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008, On a perturbed MAP risk model under a threshold dividend strategy, Some ruin problems for the MAP risk model, A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model, A unified analysis of claim costs up to ruin in a Markovian arrival risk model

Cites Work

• On the discounted penalty function in a Markov-dependent risk model
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• The queue GI/M/s with customers of different types or the queue GI/H_m/s
• A versatile Markovian point process