The Density of the Time to Ruin in the Classical Poisson Risk Model

DOI10.2143/AST.35.1.583165MaRDI QIDQ5490578zbMATH OpenOpenAlexFDO

Authors David C. M. Dickson, Gordon E. Willmot

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.35.1.583165

zbMATH Keywords

compound geometric distributionfinite time ruinLagrange's implicit function theoremmixed Erlang distributiontransient M/G/1 waiting time

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• The Distribution of the time to Ruin in the Classical Risk Model

Cited in

(53)

• Distributional study of finite-time ruin related problems for the classical risk model
• Number of claims and ruin time for a refracted risk process
• On the distribution of classic and some exotic ruin times
• An insurance risk process with a generalized income process: a solvency analysis
• A Fourier-cosine method for finite-time ruin probabilities
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation
• On a partial integrodifferential equation of Seal's type
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• An adaptive premium policy with a Bayesian motivation in the classical risk model
• Analysis of the discounted sum of ascending ladder heights
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
• Optimal control of the surplus in an insurance policy
• Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps
• A note on some joint distribution functions involving the time of ruin
• Erlang risk models and finite time ruin problems
• On the Gerber–Shiu function with random discount rate
• On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk
• A two-dimensional risk model with proportional reinsurance
• Joint density of the number of claims until ruin and the time to ruin in the generalized Erlang(2) risk model
• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
• The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
• The finite-time ruin probability under the compound binomial risk model
• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS
• The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
• Approximating the density of the time to ruin via Fourier-cosine series expansion
• Nonparametric estimation of the finite time ruin probability in the classical risk model
• The finite time ruin probability in a risk model with capital injections
• The Distribution of the time to Ruin in the Classical Risk Model
• On the Density and Moments of the Time of Ruin with Exponential Claims
• scientific article; zbMATH DE number 2169691 (Why is no real title available?)
• On the class of Erlang mixtures with risk theoretic applications
• “On the Class of Erlang Mixtures with Risk Theoretic Applications”, Gordon E. Willmot and Jae-Kyung Woo, April 2007
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes
• A surplus process involving a compound Poisson counting process and applications
• Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application
• The Discounted Moments of the Surplus After the Last Innovation Before Ruin Under the Dual Risk Model
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The expected discounted penalty function: from infinite time to finite time
• Joint distributions of some ruin related quantities in the compound binomial risk model
• Finite-time ruin probabilities using bivariate Laguerre series
• Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
• Applications of the classical compound Poisson model with claim sizes following a compound distribution
• The two-barrier escape problem for compound renewal processes with two-sided jumps
• Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Finite time ruin problems for the Erlang(2) risk model
• The last passage time before ruin: theory and applications in liquidation risk management
• Moment diagnostics for NBUE/NWUE ageing of the conditional time to ruin in the classical Cramér-Lundberg risk model
• On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
• An optimization of a continuous time risk process

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