A note on some joint distribution functions involving the time of ruin

DOI10.1016/j.insmatheco.2015.12.005zbMath1348.91141OpenAlexW2216304186MaRDI QIDQ282279

David C. M. Dickson

Publication date: 12 May 2016

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

Full work available at URL: http://hdl.handle.net/11343/120632

zbMATH Keywords

deficit at ruinjoint distribution functionMAP risk modelsurplus prior to ruintime of ruin

Mathematics Subject Classification ID

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

Related Items (6)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ 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

Cites Work

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• Some ruin problems for the MAP risk model
• On the discounted penalty function in the renewal risk model with general interclaim times
• On a partial integrodifferential equation of Seal's type
• 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 the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals
• Perturbed MAP Risk Models with Dividend Barrier Strategies
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Risk processes analyzed as fluid queues
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• Explicit Solutions for Survival Probabilities in the Classical Risk Model

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