On the ruin time distribution for a Sparre Andersen process with exponential claim sizes

DOI10.1016/j.insmatheco.2008.02.002zbMath1141.91486arXiv0709.0764OpenAlexW2165834468MaRDI QIDQ931207

David C. M. Dickson, Konstantin A. Borovkov

Publication date: 25 June 2008

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

Full work available at URL: https://arxiv.org/abs/0709.0764

zbMATH Keywords

exponential claimstime of ruin

Mathematics Subject Classification ID

Related Items (30)

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Cites Work

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• A link between wave governed random motions and ruin processes
• A note on a limit theorem for differentiable mappings
• Non-Poissonian claims' arrivals and calculation of the probability of ruin
• Kendall's identity for the first crossing time revisited
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims

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