On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model

DOI10.1080/10920277.2009.10597550MaRDI QIDQ5029065zbMATH OpenOpenAlexFDO

Authors David Landriault, Gordon E. Willmot

Publication date 11 February 2022

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

Full work available at URL https://doi.org/10.1080/10920277.2009.10597550

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• Analysis of a defective renewal equation arising in ruin theory
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• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
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• Loss models. From data to decisions
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• On the class of Erlang mixtures with risk theoretic applications
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On the distribution of the surplus prior to ruin
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• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
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• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(36)

• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Joint distributions of some actuarial random vectors containing the time of ruin
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Distributional study of finite-time ruin related problems for the classical risk model
• On the time to ruin for a dependent delayed capital injection risk model
• On the distribution of classic and some exotic ruin times
• Occupation times in the MAP risk model
• Ruin and deficit under claim arrivals with the order statistics property
• An adaptive premium policy with a Bayesian motivation in the classical risk model
• Analysis of the discounted sum of ascending ladder heights
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
• A note on some joint distribution functions involving the time of ruin
• Some results on the joint distribution prior to and at the time of ruin in the classical model
• Discussion on the joint distribution of the time of ruin and the loss at ruin
• The joint distributions of extreme values of the surplus for two kinds of ruins
• The joint distribution of a risk model with random income
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
• The finite time ruin probability in a risk model with capital injections
• scientific article; zbMATH DE number 1926062 (Why is no real title available?)
• “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
• Analysis of a generalized penalty function in a semi-Markovian risk model
• A surplus process involving a compound Poisson counting process and applications
• Study on the influence of time to ruin and deficit at ruin on insurance company based on Erlang risk model
• The joint distribution of ruin related quantities in the classical risk model
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• Joint distributions of some actuarial random vectors for the Cox risk model
• Finite-time ruin probabilities using bivariate Laguerre series
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• On a risk model with claim investigation
• On the analysis of ruin-related quantities in the delayed renewal risk model
• Tail bounds for the joint distribution of the surplus prior to and at ruin

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