“Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003

DOI10.1080/10920277.2003.10596122MaRDI QIDQ5715940zbMATH OpenOpenAlexFDO

Authors H. U. Gerber, E. S. W. Shiu

Publication date 5 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2003.10596122

Mathematics Subject Classification ID

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

Recommendations

• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• Moments of the time of ruin, surplus before ruin and the deficit at ruin in the Erlang(N) risk process
• On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• The maximum surplus before ruin in a generalized Erlang (n) risk process perturbed by diffusion
• The maximum surplus distribution before ruin in an Erlang(n) risk process perturbed by diffusion
• The surplus prior to ruin and the deficit at ruin for a correlated risk process

Cites work

• A laplace transform representation in a class of renewal queueing and risk processes
• scientific article; zbMATH DE number 3152085 (Why is no real title available?)
• scientific article; zbMATH DE number 3263592 (Why is no real title available?)
• On the time to ruin for Erlang(2) risk processes.
• On the Time Value of Ruin
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003

Cited in

(15)

• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• On the discounted distribution functions for the Erlang(2) risk process
• On a class of renewal risk models with a constant dividend barrier
• On the expected discounted penalty functions for two classes of risk processes
• Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
• On a class of discrete time renewal risk models
• The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• Ruin Probabilities for Two Classes of Risk Processes
• On a general class of renewal risk process: analysis of the Gerber-Shiu function
• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• On ruin for the Erlang \((n)\) risk process

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