Algorithmic Analysis of the Sparre Andersen Model in Discrete Time

DOI10.2143/AST.37.2.2024068zbMath1154.62076OpenAlexW4230107486MaRDI QIDQ5505901

Steve Drekic, Attahiru Sule Alfa

Publication date: 28 January 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.37.2.2024068

zbMATH Keywords

discrete timematrix analytic methodsdeficit at ruintime of ruinsurplus immediately prior to ruin

Mathematics Subject Classification ID

Related Items (6)

Ruin analysis of a threshold strategy in a discrete-time Sparre Andersen model ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period ⋮ Reliability of a Discrete-Time System with Investment ⋮ A generalized penalty function for a class of discrete renewal processes ⋮ A unifying approach to the analysis of business with random gains

Cites Work

• Markov chain representations of discrete distributions applied to queueing models
• Modelling Vehicular Traffic Using the Discrete Time Markovian Arrival Process
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