The Time Value of Ruin in a Sparre Andersen Model

DOI10.1080/10920277.2005.10596197zbMath1085.62508OpenAlexW2313961709MaRDI QIDQ5716025

Elias S. W. Shiu, Hans U. Gerber

Publication date: 6 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596197

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Corporate finance (dividends, real options, etc.) (91G50) Renewal theory (60K05)

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