The Distribution of the time to Ruin in the Classical Risk Model

DOI10.2143/AST.32.2.1031MaRDI QIDQ4661666zbMATH OpenFDO

Authors David C. M. Dickson, Howard R. Waters

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/AST.32.2.1031

zbMATH Keywords

classical risk modeltime to ruin

Mathematics Subject Classification ID

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

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Cited in

(27)

• On upper bounds for the tail distribution of geometric sums of subexponential random variables
• A series for infinite time ruin probabilities
• The moments of ruin time in the classical risk model with discrete claim size distribution
• Recursive calculation of time to ruin distributions.
• How many claims does it take to get ruined and recovered?
• Symbolic calculation of the moments of the time of ruin.
• Distributional study of finite-time ruin related problems for the classical risk model
• Calculation of the temporal characteristics of ruin of an insurance company for a model with input risk flow intensity, which depends on the number of insured risks
• On the distribution of classic and some exotic ruin times
• The spreading time in SIS epidemics on networks
• The distribution of the first \(\beta\) point in the classical risk model with interest
• On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
• Martingales and the distribution of the time to ruin.
• Moments of the ruin time in a Lévy risk model
• The moments of the time of ruin in Markovian risk models
• The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model
• Approximating the density of the time to ruin via Fourier-cosine series expansion
• 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?)
• DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• On the moments of ruin and recovery times
• On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance
• Moment diagnostics for NBUE/NWUE ageing of the conditional time to ruin in the classical Cramér-Lundberg risk model
• Approximations for the moments of ruin time in the compound Poisson model

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