A surplus process involving a compound Poisson counting process and applications

DOI10.1080/03610926.2019.1586942OpenAlexW2920849341WikidataQ128294187 ScholiaQ128294187MaRDI QIDQ5077255FDOQ5077255

Authors: Yuying Li, Kristina P. Sendova 

Publication date: 18 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2019.1586942

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zbMATH Keywords

Gerber-Shiu functionruin theorycompound Poisson processbatch claim arrivalsHeaviside Expansion Theorem

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• On the Time Value of Ruin
• Complex analysis for mathematics and engineering
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• Non-life insurance mathematics. An introduction with the Poisson process
• The Pólya-Aeppli process and ruin problems
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Moments of the time of ruin, surplus before ruin and the deficit at ruin in the Erlang(N) risk process
• Poisson-logarithmic risk process and applications
• Characterization of the Pólya-Aeppli process

Cited In (4)

• Systemic infinitesimal over-dispersion on graphical dynamic models
• Generalized iterated Poisson process and applications
• Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
• Applications of the classical compound Poisson model with claim sizes following a compound distribution

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