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

DOI10.1017/ASB.2012.2zbMATH Open1284.91270OpenAlexW2136139078MaRDI QIDQ5398342FDOQ5398342

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

Recommendations

• Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• The ruin time under the Sparre Andersen dual model
• The Distribution of the time to Ruin in the Classical Risk Model
• The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
• Ruin probabilities of a continuous-time Sparre Andersen model with inter-claim times distributed as discrete phase-type
• Approximation for ruin probability in the Sparre Andersen model with interest
• Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model

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)

Cites Work

• Title not available (Why is that?)
• Stationary distributions for fluid flow models with or without brownian noise
• The Time Value of Ruin in a Sparre Andersen Model
• Passage times in fluid models with application to risk processes
• Fitting combinations of exponentials to probability distributions
• Taylor series based finite difference approximations of higher-degree derivatives

Cited In (20)

• 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
• Nonparametric estimation of the finite time ruin probability in the classical risk model
• On the distribution of classic and some exotic ruin times
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• 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
• Title not available (Why is that?)
• 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
• Bounds for the probability and severity of ruin in the Sparre Andersen model

This page was built for publication: DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5398342)