On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures

DOI10.1016/j.cam.2015.08.013zbMath1339.60127OpenAlexW1450126152MaRDI QIDQ893119

Michael V. Boutsikas, Demetrios L. Antzoulakos, Athanasios C. Rakitzis

Publication date: 13 November 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.08.013

zbMATH Keywords

numerical algorithmrenewal risk modelmixed Erlang distributionexponentially tilted probability measuretwo-sided first exit time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Renewal theory (60K05)

Related Items

The Erlang(n) risk model with two-sided jumps and a constant dividend barrier, The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier, On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model, The mean chance of ultimate ruin time in random fuzzy insurance risk model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• When does the surplus reach a given target?
• How many claims does it take to get ruined and recovered?
• Probabilities of large deviations for random walks with regular distribution of jumps.
• 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 distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• The time to ruin and the number of claims until ruin for phase-type claims
• A two-sided first-exit problem for a compound Poisson process with a random upper boundary
• Exit times for a class of random walks exact distribution results
• Two-boundary problems for a random walk
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model
• On the Joint Distribution of Stopping Times and Stopped Sums in Multistate Exchangeable Trials
• A Wiener-Hopf Type Method for a General Random Walk with a Two-Sided Boundary