On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model

DOI10.1080/03461238.2023.2208787MaRDI QIDQ6121111zbMATH OpenOpenAlexFDO

Authors Michael V. Boutsikas, Eutichia Vaggelatou

Publication date 26 February 2024

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

Full work available at URL https://doi.org/10.1080/03461238.2023.2208787

zbMATH Keywords

exponentially tilted probability measurejump diffusion processmixed Erlang distributionnumber of claims to ruinovershoot and undershootrenewal risk modelruin probabilitytwo-sided first exit time

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Applications of statistics to actuarial sciences and financial mathematics (62P05) Risk models (general) (91B05) Actuarial mathematics (91G05)

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Cites work

• A two-sided first-exit problem for a compound Poisson process with a random upper boundary
• Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
• How many claims does it take to get ruined and recovered?
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(\(n\)) claims
• Moment-based approximations of distributions using mixtures: Theory and applications
• On the class of Erlang mixtures with risk theoretic applications
• On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures
• On the time and the number of claims when the surplus drops below a certain level
• Ruin probabilities
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• The expected discounted penalty function: from infinite time to finite time
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• The time of recovery and the maximum severity of ruin in a Sparre Andersen model
• The time to ruin and the number of claims until ruin for phase-type claims
• When does the surplus reach a given target?

Cited in

(2)

• Perpetual American options in a jump-diffusion model with random inspection
• Infinite-time ruin probability of a multivariate renewal risk model with Brownian perturbations

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