The maximum surplus distribution before ruin in an Erlang(n) risk process perturbed by diffusion

DOI10.1007/S10114-011-8072-8MaRDI QIDQ644634zbMATH OpenOpenAlexFDO

Authors Zhen Zhong Zhang, Jiezhong Zou, Yuanyuan Liu

Publication date 4 November 2011

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-011-8072-8

zbMATH Keywords

diffusion processintegro-differential equationgeneralized Erlang\((n)\) inter-claim timesmaximum surplus distributionsparre Anderson risk model

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• A decomposition of the ruin probability for the risk process perturbed by diffusion
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• On a class of renewal risk models with a constant dividend barrier
• On ruin for the Erlang \((n)\) risk process
• On the Time Value of Ruin
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On the expected discounted penalty functions for two classes of risk processes
• On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes.
• On the time to ruin for Erlang(2) risk processes.
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin probabilities for Erlang (2) risk processes
• Some distributions for classical risk process that is perturbed by diffusion
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion
• The Time Value of Ruin in a Sparre Andersen Model
• The joint density function of three characteristics on jump-diffusion risk process.
• The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models.
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems

Cited in

(14)

• The maximum surplus in the phase-type risk model perturbed by diffusion and related distributions
• “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003
• A decomposition of the ruin probability for the Erlang (2) risk process perturbed by diffusion
• scientific article; zbMATH DE number 5952154 (Why is no real title available?)
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• Ruin probabilities for the phase-type dual model perturbed by diffusion
• The maximum surplus before ruin in the generalized Erlang (\(n\)) risk model perturbed by diffusion
• The maximum surplus before ruin in a generalized Erlang \((n)\) risk process perturbed by diffusion
• The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
• The maximum surplus before ruin in a jump-diffusion insurance risk process with dependence
• scientific article; zbMATH DE number 5209826 (Why is no real title available?)
• The distribution of the maximum surplus before ruin for two classes of perturbed risk model with stochastic income
• On Erlang(2) Risk Process Perturbed by Diffusion
• The maximum surplus before ruin for two classes of perturbed risk model

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