The deficit at ruin in the stationary renewal risk model

DOI10.1080/03461230310016974MaRDI QIDQ5467660zbMATH OpenOpenAlexFDO

Authors Gordon E. Willmot, David C. M. Dickson, Steve Derkic, David A. Stanford

Publication date 24 May 2006

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

Full work available at URL https://doi.org/10.1080/03461230310016974

zbMATH Keywords

collective risk modelcompound geometric convolutiondefective renewal equationladder heightmaximal aggregate lossphase-type distributionrenewal risk modelSparre Andersen risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
• On the discounted penalty function in the discrete time stationary renewal risk model
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• The distribution of deficit at ruin on a renewal risk model
• Compound geometric residual lifetime distributions and the deficit at ruin.

Cites work

• Compound geometric residual lifetime distributions and the deficit at ruin.
• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Lundberg inequalities for renewal equations
• On the concavity of the waiting-time distribution in some GI/G/1 queues
• Preservation of certain classes of life distributions under Poisson shock models
• Recursive calculation of the probability and severity of ruin

Cited in

(16)

• Compound geometric residual lifetime distributions and the deficit at ruin.
• Deficit distributions at ruin in a regime-switching Sparre Andersen model
• Transform approach for discounted aggregate claims in a risk model with descendant claims
• A cyclic approach on classical ruin model
• On the integrated tail of the deficit in the renewal risk model
• On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
• The proper distribution function of the deficit in the delayed renewal risk model
• Ratio monotonicity for tail probabilities in the renewal risk model
• Monotonicity properties and the deficit at ruin in the Sparre Andersen model
• The distribution of deficit at ruin on a renewal risk model
• Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• On the discounted Kth moment of the deficit at ruin in the delayed renewal risk model
• On the analysis of ruin-related quantities in the delayed renewal risk model

This page was built for publication: The deficit at ruin in the stationary renewal risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5467660)