“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

DOI10.1080/10920277.2009.10597565zbMATH Open1483.91189OpenAlexW4243725197MaRDI QIDQ5029079FDOQ5029079

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

• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Title not available (Why is that?)
• 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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