The joint distributions of several important actuarial diagnostics in the classical risk model.

DOI10.1016/S0167-6687(02)00103-8zbMath1071.91027OpenAlexW2021055002MaRDI QIDQ1413331

Rong Wu, Li Wei

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00103-8

zbMATH Keywords

strong Markov propertyultimately leaving-time

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Related Items (6)

Some results behind dividend problems ⋮ Joint distributions of some actuarial random vectors in the compound binomial model ⋮ Joint and supremum distributions in the compound binomial model with Markovian environment ⋮ Joint distributions of some actuarial random vectors containing the time of ruin ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ Joint distributions of some actuarial random vectors for the Cox risk model

Cites Work

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• On the distribution of the claim causing ruin
• Aspects of risk theory
• On the distribution of the surplus prior to ruin
• On some measures of the severity of ruin in the classical Poisson model
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

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