“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

DOI10.1080/10920277.2009.10597565MaRDI QIDQ5029079zbMATH OpenOpenAlexFDO

Authors Steve Derkic

Publication date 11 February 2022

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

Full work available at URL https://doi.org/10.1080/10920277.2009.10597565

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3600993 (Why is no real title available?)
• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• On the Density and Moments of the Time of Ruin with Exponential Claims
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims

Cited in

(5)

• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• Bridging the first and last passage times for Lévy models
• “On The Decomposition Of The Ruin Probability For A Jump-Diffusion Surplus Process Compounded By A Geometric Brownian Motion”, Jun Cai and Chengming Xu, April 2006
• “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 the distribution of cumulative Parisian ruin

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