The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
DOI10.1016/J.INSMATHECO.2005.05.002zbMATH Open1129.91027OpenAlexW2048681338MaRDI QIDQ817285FDOQ817285
Authors: Jiandong Ren 
Publication date: 8 March 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.002
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renewal processphase-type distributiondeficit at ruinprobability of ruinexpected value of the time of ruinLaplace transform of the time of ruinperturbed classical risk process
Cites Work
- Title not available (Why is that?)
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- Finite time ruin probabilities with one Laplace inversion.
- On the Time Value of Ruin
- A generalized defective renewal equation for the surplus process perturbed by diffusion.
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- The joint density function of three characteristics on jump-diffusion risk process.
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- On the expectations of the present values of the time of ruin perturbed by diffusion.
Cited In (10)
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- Some distributions for the classical risk process perturbed by Brownian motion
- On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
- A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- The maximum severity of ruin in a perturbed risk process with Markovian arrivals
- An insurance risk model with stochastic volatility
- Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
- On the expectations of the present values of the time of ruin perturbed by diffusion.
- The use of vector-valued martingales in risk theory
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