Ruin time and aggregate claim amount up to ruin time for the perturbed risk process

DOI10.1080/03461238.2011.592262zbMath1287.91095OpenAlexW2078184821MaRDI QIDQ2868605

Cary Chi-Liang Tsai, Landy Rabehasaina

Publication date: 17 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461238.2011.592262

zbMATH Keywords

Laplace transformfirst passage timedeficit at ruinperturbed classical risk modelSparre Andersen risk process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Renewal theory (60K05)

Related Items (1)

An IBNR-RBNS insurance risk model with marked Poisson arrivals

Cites Work

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• Exponential decay and ergodicity of completely asymmetric Lévy processes in a finite interval
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• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• Distributions for the risk process with a stochastic return on investments.
• Second-Order Fluid Flow Models: Reflected Brownian Motion in a Random Environment
• Risk processes analyzed as fluid queues
• Ruin in the perturbed compound Poisson risk process under interest force
• On the Time Value of Ruin

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