Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
From MaRDI portal
Publication:1739342
DOI10.1007/s11009-018-9618-3zbMath1411.91324OpenAlexW2791773860MaRDI QIDQ1739342
Publication date: 26 April 2019
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-018-9618-3
covariancehigher momentsclaim causing ruindiscounted aggregate claims until ruindiscounted moment-based joint distributiondiscrete Coxian \((K_n)\) distributiondiscrete sparre Andersen renewal risk process
Related Items
Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm ⋮ Unnamed Item ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ On a discrete-time risk model with time-dependent claims and impulsive dividend payments
Cites Work
- Unnamed Item
- On the total operating costs up to default in a renewal risk model
- Ruin probabilities in the compound binomial model
- A ruin model with dependence between claim sizes and claim intervals
- On the discounted penalty function in the renewal risk model with general interclaim times
- On the discrete-time compound renewal risk model with dependence
- On the time to ruin for Erlang(2) risk processes.
- Discounted probabilities and ruin theory in the compound binomial model
- Moment-based approximations of distributions using mixtures: Theory and applications
- On the analysis of a general class of dependent risk processes
- A unified analysis of claim costs up to ruin in a Markovian arrival risk model
- Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
- Recursive Moments of Compound Renewal Sums with Discounted Claims
- A generalized penalty function for a class of discrete renewal processes
- On a class of discrete time renewal risk models
- Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
- A Bivariate Geometric Distribution with Applications to Reliability
- A note on deficit analysis in dependency models involving Coxian claim amounts
- On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
- Classical numerical ruin probabilities
- On the expectation of total discounted operating costs up to default and its applications
- A Primer on Copulas for Count Data
- On the Time Value of Ruin
- Moment generating functions of compound renewal sums with discounted claims
- Loss Models
- Moments of compound renewal sums with discounted claims
