scientific article; zbMATH DE number 5257238

zbMATH Open1138.91495MaRDI QIDQ5453764FDOQ5453764

Authors Moncef Elghribi, Ezzeddine Haouala

Publication date 3 April 2008

zbMATH Keywords

Laplace transformMarkov processBrownian motionconditional expectationinfinitesimal generatortransition operatorruin theoryrenewal risk processintegro-difFerential equation

Mathematics Subject Classification ID

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

Recommendations

• The Laplace transform of ruin time with investment and barrier dividend
• Laplace transform of the survival probability under Sparre Andersen model
• Ruin probabilities for a Sparre Andersen model with investments
• DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
• The ruin time under the Sparre Andersen dual model
• Laplace transform of the time of ruin for a perturbed risk process driven by a subordinator
• Approximation for ruin probability in the Sparre Andersen model with interest
• Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
• The Time Value of Ruin in a Sparre Andersen Model
• On the application of the Laplace transform to a particular case of ruin in ended times

Cited in

(6)

• Laplace transform of the survival probability under Sparre Andersen model
• The Laplace transform of annuities certain with exponential time distribution
• Stochastic calculus in a risk model with stochastic return on investments
• Ruin probabilities for a Sparre Andersen model with investments
• Laplace transform of the time of ruin for a perturbed risk process driven by a subordinator
• The Laplace transform of ruin time with investment and barrier dividend

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