The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims

DOI10.1080/03461230510009853zbMath1144.91025OpenAlexW2129381286MaRDI QIDQ5430555

Zhang Lianzeng, David C. M. Dickson, Barry D. Hughes

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/34348

zbMATH Keywords

exponential claimsSparre Andersen modelcomplex inversion formulafinite time ruindensity of the time to ruinErlang arrivalsmoments of time to ruin

Mathematics Subject Classification ID

Related Items (20)

Hitting probabilities of weighted Poisson processes with different intensities and their subordinations ⋮ APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions ⋮ Finite time ruin problems for the Erlang\((2)\) risk model ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ On the ruin time distribution for a Sparre Andersen process with exponential claim sizes ⋮ On a nonparametric estimator for the finite time survival probability with zero initial surplus ⋮ On the discounted penalty function in the renewal risk model with general interclaim times ⋮ Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin ⋮ On a First-Passage-Time Problem for the Compound Power-Law Process ⋮ Erlang risk models and finite time ruin problems ⋮ Direct Derivation of Finite-Time Ruin Probabilities in the Discrete Risk Model with Exponential or Geometric Claims ⋮ On the Class of Erlang Mixtures with Risk Theoretic Applications ⋮ Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts ⋮ On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model ⋮ “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 ⋮ Gerber-Shiu analysis of a risk model with capital injections ⋮ Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes

Cites Work

• On ruin for the Erlang \((n)\) risk process
• Aspects of risk theory
• On the time to ruin for Erlang(2) risk processes.
• The Distribution of the time to Ruin in the Classical Risk Model
• On the Density and Moments of the Time of Ruin with Exponential Claims
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin
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