The ruin time under the Sparre Andersen dual model

DOI10.1016/j.insmatheco.2013.10.012zbMath1292.91096OpenAlexW2000725332MaRDI QIDQ2015470

Kristina P. Sendova, Chen Yang

Publication date: 23 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.012

zbMATH Keywords

Laplace transformgeneralized Lundberg equationgeneralized Erlang(\(n\)) innovation timesSparre Andersen dual risk model

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Asymptotic analysis for optimal dividends in a dual risk model ⋮ On a perturbed compound Poisson model with varying premium rates ⋮ SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL ⋮ Ruin probabilities for the phase-type dual model perturbed by diffusion ⋮ On dividends in the phase–type dual risk model ⋮ Duality in ruin problems for ordered risk models ⋮ A delayed dual risk model ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ On finite-time ruin probabilities in a generalized dual risk model with dependence

Cites Work

• On the dual risk model with tax payments
• Optimal dividends in the dual model
• On a dual model with a dividend threshold
• A Direct Approach to a First-Passage Problem with Applications in Risk Theory
• The Time Value of Ruin in a Sparre Andersen Model
• On the modification of Rouche's theorem for the queueing theory problems