Distributional study of finite-time ruin related problems for the classical risk model

DOI10.1016/j.amc.2017.07.054zbMath1427.91079OpenAlexW2743450057MaRDI QIDQ1740157

Shuanming Li, Yi Lu

Publication date: 29 April 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2017.07.054

zbMATH Keywords

classical risk modelmaximum severity of ruintwo-sided first exit timefinite-time Gerber-Shiu functionmaximum surplus prior to ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05) Risk models (general) (91B05) Actuarial mathematics (91G05)

Related Items (7)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ On the distribution of classic and some exotic ruin times ⋮ The expected discounted penalty function: from infinite time to finite time ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions

Cites Work

• Unnamed Item
• A note on some joint distribution functions involving the time of ruin
• Number of jumps in two-sided first-exit problems for a compound Poisson process
• The finite-time ruin probability under the compound binomial risk model
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• A new look at the homogeneous risk model
• Finite time ruin problems for the Erlang\((2)\) risk model
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Some ruin problems for the MAP risk model
• 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
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The order-statistic claim process with dependent claim frequencies and severities
• On a partial integrodifferential equation of Seal's type
• A two-sided first-exit problem for a compound Poisson process with a random upper boundary
• Ruin probabilities for risk models with ordered claim arrivals
• Two-Sided Bounds for the Finite Time Probability of Ruin
• On the Ruin Problem of Collective Risk Theory
• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• On finite-time ruin probabilities for classical risk models
• Approximations to ruin probability in the presence of an upper absorbing barrier
• The probability of ruin in finite time with discrete claim size distribution
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
• A finite-time ruin probability formula for continuous claim severities
• On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
• RISK MODELS IN INSURANCE AND EPIDEMICS: A BRIDGE THROUGH RANDOMIZED POLYNOMIALS
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• On the Time Value of Ruin
• Joint Distributions of Some Ruin Related Quantities in the Compound Binomial Risk Model

This page was built for publication: Distributional study of finite-time ruin related problems for the classical risk model