Erlang risk models and finite time ruin problems

DOI10.1080/03461238.2010.499261zbMath1277.91081OpenAlexW2067555458MaRDI QIDQ2866304

Shuanming Li, David C. M. Dickson

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2010.499261

zbMATH Keywords

joint distributiondeficit at ruintime of ruinErlang risk models

Mathematics Subject Classification ID

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

Related Items (8)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ Nonparametric estimation of the finite time ruin probability in the classical risk model ⋮ The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model ⋮ Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions ⋮ On the distribution of classic and some exotic ruin times ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Appell pseudopolynomials and Erlang-type risk models

Cites Work

• Finite time ruin problems for the Erlang\((2)\) risk model
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the time to ruin for Erlang(2) risk processes.
• The expected discounted penalty at ruin in the Erlang (2) risk process
• On the Ruin Problem of Collective Risk Theory
• Computational Methods for Integral Equations
• On the Density and Moments of the Time of Ruin with Exponential Claims
• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The Time Value of Ruin in a Sparre Andersen Model

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