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

DOI10.1080/10920277.2009.10597550zbMATH Open1483.91199OpenAlexW1879969047MaRDI QIDQ5029065FDOQ5029065

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

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Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Time Value of Ruin
• Aspects of risk theory
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• On the class of Erlang mixtures with risk theoretic applications
• 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
• Joint distributions of some actuarial random vectors containing the time of ruin
• Analysis of a defective renewal equation arising in ruin theory
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• On the distribution of the surplus prior to ruin
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• Loss models. From data to decisions

Cited In (35)

• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Ruin and deficit under claim arrivals with the order statistics property
• Occupation times in the MAP risk model
• Analysis of the discounted sum of ascending ladder heights
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• The joint distribution of ruin related quantities in the classical risk model
• The joint distributions of extreme values of the surplus for two kinds of ruins
• A note on some joint distribution functions involving the time of ruin
• Joint distributions of some actuarial random vectors for the Cox 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
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Study on the influence of time to ruin and deficit at ruin on insurance company based on Erlang risk model
• A surplus process involving a compound Poisson counting process and applications
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Discussion on the joint distribution of the time of ruin and the loss at ruin
• Joint distributions of some actuarial random vectors containing the time of ruin
• On the analysis of ruin-related quantities in the delayed renewal risk model
• Finite-time ruin probabilities using bivariate Laguerre series
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application
• Some results on the joint distribution prior to and at the time of ruin in the classical model
• The finite time ruin probability in a risk model with capital injections
• An adaptive premium policy with a Bayesian motivation in the classical risk model
• “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
• On a risk model with claim investigation
• Analysis of a generalized penalty function in a semi-Markovian risk model
• On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
• The joint distribution of a risk model with random income
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts
• Title not available (Why is that?)
• Tail bounds for the joint distribution of the surplus prior to and at ruin
• Distributional study of finite-time ruin related problems for the classical risk model

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