Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin

DOI10.2143/AST.38.1.2030413zbMath1169.91386OpenAlexW4248340764MaRDI QIDQ3395773

David C. M. Dickson

Publication date: 13 September 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.1.2030413

Mathematics Subject Classification ID

Related Items (14)

A note on some joint distribution functions involving the time of ruin ⋮ On mixed Erlang reinsurance risk: aggregation, capital allocation and default risk ⋮ ON SARMANOV MIXED ERLANG RISKS IN INSURANCE APPLICATIONS ⋮ 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 finite time ruin probability in a risk model with capital injections ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Finite time ruin problems for the Erlang\((2)\) risk model ⋮ On the ruin time distribution for a Sparre Andersen process with exponential claim sizes ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ 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 ⋮ A Two-Dimensional Risk Model with Proportional Reinsurance ⋮ On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model

Cites Work

• The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
• Unnamed Item

This page was built for publication: Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin