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

DOI10.1016/0167-6687(84)90052-0zbMath0543.62092OpenAlexW1984199818MaRDI QIDQ796239

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 actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10) 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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Maximum Likelihood Estimation in Alternating Renewal Processes Under Window Censoring ⋮ Homogeneous discrete time alternating compound renewal process: a disability insurance application ⋮ Optimal Disability Insurance with Moral Hazards: Absenteeism, Presenteeism, and Shirking ⋮ Stochastic Models for Continuing Care Retirement Communities ⋮ Continuous time Markov chains observed on an alternating renewal process with exponentially distributed durations ⋮ Exploring the Optimal Design of an Employer-Sponsored Sickness-Disability Compensation Insurance Plan When Sickness Presenteeism Is Penalized

Cites Work

• The Wiener-Hopf equation whose kernel is a probability density
• A Combinatorial Lemma and Its Application to Probability Theory
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