The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model

DOI10.3785/J.ISSN.1008-9497.2013.04.009zbMATH Open1299.91078MaRDI QIDQ5166204FDOQ5166204

Authors: Huai Xu, Ling Tang 

Publication date: 30 June 2014

Recommendations

• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model

zbMATH Keywords

deficit at ruintime to ruinjoint density functionKendall's identityErlang(2) distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cited In (11)

• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• The Time Value of Ruin in a Sparre Andersen Model
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes
• DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.

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