The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model

DOI10.1239/JAP/1189717539MaRDI QIDQ5440643zbMATH OpenOpenAlexFDO

Authors Konstadinos Politis, Susan M. Pitts

Publication date 5 February 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1189717539

zbMATH Keywords

phase-type distributiondeficit at ruinsurplus prior to ruinsubexponential distributionSparre Andersen modelladder heightWiener-Hopf factors

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Recommendations

• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
• “Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen Model”, Andrew C. Y. Ng and Hailiang Yang, April 2005
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007
• “The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model”, Jiandong Ren, July 2007
• On the distribution of the surplus of the D-E model prior to and at ruin

Cites work

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Cited in

(15)

• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The surplus prior to ruin and the deficit at ruin for a correlated risk process
• A joint density function in phase-type (2) risk models
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• A note on deficit analysis in dependency models involving Coxian claim amounts
• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
• The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a Sparre Andersen model
• The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times
• Ruin problems and dual events
• A generalized penalty function in the Sparre Andersen risk model with two-sided jumps
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• On the expected discounted penalty function for risk process with tax

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