“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

DOI10.1080/10920277.2009.10597553MaRDI QIDQ5029066zbMATH OpenOpenAlexFDO

Authors H. U. Gerber, E. S. W. Shiu

Publication date 11 February 2022

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

Full work available at URL https://doi.org/10.1080/10920277.2009.10597553

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• “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 Willmot, Volume 13, No. 2, 2009
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Author’s Reply: On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model - Discussion by David C. M. Dickson; Jae-Kyung Woo; Hans U. Gerber; Elias S. W. Shiu
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• 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 distribution of the time to ruin and the number of claims until ruin in the classical risk model
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• Über die Verteilung des Überschusses vor und zum Zeitpunkt des Ruins in Semi-Markov-Risikomodellen;On the distribution of the surplus prior to ruin and at ruin in a discrete semi-markov risk model

Cites work

• Algebraic Properties of Certain Integral Transforms
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• scientific article; zbMATH DE number 3150209 (Why is no real title available?)
• scientific article; zbMATH DE number 3308511 (Why is no real title available?)
• scientific article; zbMATH DE number 3353768 (Why is no real title available?)
• On the Time Value of Ruin
• The Time Value of Ruin in a Sparre Andersen Model

Cited in

(1)

• Finite-time ruin probabilities using bivariate Laguerre series

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