Joint distributions of some actuarial random vectors containing the time of ruin

DOI10.1016/S0167-6687(03)00150-1zbMath1024.62045OpenAlexW2046452900MaRDI QIDQ1413344

Rong Wu, Li Wei, Guo-jing Wang

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(03)00150-1

zbMATH Keywords

ruin probabilityjoint distributionstrong Markov propertyrenewal measureultimately leaving-timesequence of zero points

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (15)

The distribution of the first \(\beta\) point in the classical risk model with interest ⋮ Joint distributions of some actuarial random vectors in the compound binomial model ⋮ On a joint distribution for the risk process with constant interest force ⋮ The hitting time for a Cox risk process ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model ⋮ Joint and supremum distributions in the compound binomial model with Markovian environment ⋮ The joint density function of three characteristics on jump-diffusion risk process. ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ On a Classical Risk Model with a Constant Dividend Barrier ⋮ On the expected discounted penalty function in a delayed-claims risk model ⋮ Joint distributions of some actuarial random vectors for the Cox risk model ⋮ Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy ⋮ When does surplus reach a certain level before ruin? ⋮ On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model

Cites Work

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• Aspects of risk theory
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• 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
• The joint distributions of several important actuarial diagnostics in the classical risk model.

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