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

DOI10.1016/J.INSMATHECO.2011.05.006MaRDI QIDQ654814zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

compound geometric taildefective renewal equationexponential distributionLagrange's expansion theoremmixed Erlang distributionnumber of claims until ruinsurplus prior to ruintime of ruin

Mathematics Subject Classification ID

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

Recommendations

• The joint density of the time to ruin and the deficit at ruin for a Sparre Andersen risk model
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• Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(\(n\)) claims
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model

Cites work

• Direct derivation of finite-time ruin probabilities in the discrete risk model with exponential or geometric claims
• Erlang risk models and finite time ruin problems
• How many claims does it take to get ruined and recovered?
• scientific article; zbMATH DE number 3292535 (Why is no real title available?)
• On the class of Erlang mixtures with risk theoretic applications
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• On the Time Value of Ruin
• Ruin probabilities based at claim instants for some non-Poisson claim processes
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The Density of the Time to Ruin in the Classical Poisson Risk Model

Cited in

(32)

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

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