Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions

DOI10.1016/J.INSMATHECO.2011.05.006zbMATH Open1229.91161OpenAlexW2032607318MaRDI QIDQ654814FDOQ654814

Authors: David Landriault, Tianxiang Shi, Gordon E. Willmot 

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.05.006

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zbMATH Keywords

exponential distributionsurplus prior to ruintime of ruinmixed Erlang distributionnumber of claims until ruindefective renewal equationcompound geometric tailLagrange's expansion theorem

Mathematics Subject Classification ID

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

Cites Work

• How many claims does it take to get ruined and recovered?
• Ruin probabilities based at claim instants for some non-Poisson claim processes
• On the Time Value of Ruin
• On the discounted penalty function in the renewal risk model with general interclaim times
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• Erlang risk models and finite time ruin problems
• On the class of Erlang mixtures with risk theoretic applications
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• Title not available (Why is that?)
• On the Density and Moments of the Time of Ruin with Exponential Claims
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• Direct derivation of finite-time ruin probabilities in the discrete risk model with exponential or geometric claims
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model

Cited In (31)

• Approximating the density of the time to ruin via Fourier-cosine series expansion
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Analysis of the discounted sum of ascending ladder heights
• On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model
• The time to ruin and the number of claims until ruin for phase-type claims
• Number of claims and ruin time for a refracted risk process
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Nonparametric estimation of the finite time ruin probability in the classical risk model
• On the distribution of classic and some exotic ruin times
• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
• Gerber-Shiu analysis of a risk model with capital injections
• Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes
• Some ruin problems for the MAP risk model
• DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
• An insurance risk process with a generalized income process: a solvency analysis
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• An adaptive premium policy with a Bayesian motivation in the classical risk model
• Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
• On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures
• The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
• A note on ruin problems in perturbed classical risk models
• The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
• On the time and the number of claims when the surplus drops below a certain level
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
• The expected discounted penalty function: from infinite time to finite time
• On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model
• Distributional study of finite-time ruin related problems for the classical risk model
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times

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