DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS

DOI10.1017/ASB.2012.2MaRDI QIDQ5398342zbMATH OpenOpenAlexFDO

Authors Tianxiang Shi, David Landriault

Publication date 27 February 2014

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2012.2

zbMATH Keywords

finite-time ruin probabilitynumber of claims until ruintime to ruin\(\text K_m/\text G/1\) queueing modelcombination of \(n\) exponentialsduration of a busy periodmultivariate Lagrange expansion theorem

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25)

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Cites work

• scientific article; zbMATH DE number 3755546 (Why is no real title available?)
• Fitting combinations of exponentials to probability distributions
• Passage times in fluid models with application to risk processes
• Stationary distributions for fluid flow models with or without brownian noise
• Taylor series based finite difference approximations of higher-degree derivatives
• The Time Value of Ruin in a Sparre Andersen Model

Cited in

(20)

• Bounds for the probability and severity of ruin in the Sparre Andersen model
• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• Approximating the density of the time to ruin via Fourier-cosine series expansion
• Solving the finite-time ruin problems by Laguerre series expansion
• The Time Value of Ruin in a Sparre Andersen Model
• Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Nonparametric estimation of the finite time ruin probability in the classical risk model
• On the distribution of classic and some exotic ruin times
• Duality in ruin problems for ordered risk models
• Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• A Fourier-cosine method for finite-time ruin probabilities
• Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• Sparre Andersen identity and the last passage time
• Fraud risk assessment within blockchain transactions
• scientific article; zbMATH DE number 5257238 (Why is no real title available?)
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier

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