The asymptotic ruin problem when the healthy and sick periods form an alternating renewal process

DOI10.1016/0167-6687(84)90052-0MaRDI QIDQ796239zbMATH OpenOpenAlexFDO

Authors Colin M. Ramsay

Publication date 1984

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

Full work available at URL https://doi.org/10.1016/0167-6687(84)90052-0

zbMATH Keywords

alternating renewal processasymptotic ruin problemhealthy and sick periodsP-solutionrandom walk of partial sumsWiener-Hopf type integral equation

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Renewal theory (60K05)

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Cites work

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• The Wiener-Hopf equation whose kernel is a probability density

Cited in

(6)

• Stochastic Models for Continuing Care Retirement Communities
• Continuous time Markov chains observed on an alternating renewal process with exponentially distributed durations
• Optimal Disability Insurance with Moral Hazards: Absenteeism, Presenteeism, and Shirking
• Maximum Likelihood Estimation in Alternating Renewal Processes Under Window Censoring
• Homogeneous discrete time alternating compound renewal process: a disability insurance application
• Exploring the optimal design of an employer-sponsored sickness-disability compensation insurance plan when sickness presenteeism is penalized

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