“The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008

DOI10.1080/10920277.2009.10597544zbMath1483.91207OpenAlexW2049196107MaRDI QIDQ5029060

Jiandong Ren

Publication date: 11 February 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597544

Mathematics Subject Classification ID

Laplace transform (44A10) Actuarial mathematics (91G05)

Related Items (1)

On a perturbed MAP risk model under a threshold dividend strategy

Cites Work

• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007

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