The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model

DOI10.1016/j.cam.2016.09.045zbMath1353.91022arXiv1603.05925OpenAlexW2963654044MaRDI QIDQ344313

Chunming Zhao, Irmina Czarna, Zbigniew Palmowski, Yanhong Li

Publication date: 22 November 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.05925

zbMATH Keywords

joint distributionclassical risk modelParisian ruinnumber of claimsmixed Erlang

Mathematics Subject Classification ID

Related Items (7)

Parisian ruin probability - the De Vylder type approximation ⋮ Parisian types of ruin probabilities for a class of dependent risk-reserve processes ⋮ Parisian ruin with Erlang delay and a lower bankruptcy barrier ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process ⋮ Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes ⋮ On the distribution of classic and some exotic ruin times

Cites Work

• The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model
• An insurance risk model with Parisian implementation delays
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Occupation times of spectrally negative Lévy processes with applications
• How many claims does it take to get ruined and recovered?
• Joint density of the number of claims until ruin and the time to ruin in the delayed renewal risk model with Erlang(\(n\)) claims
• Parisian ruin probability for spectrally negative Lévy processes
• The time to ruin and the number of claims until ruin for phase-type claims
• Ruin Probability with Parisian Delay for a Spectrally Negative Lévy Risk Process
• On the Ruin Problem of Collective Risk Theory
• Brownian Excursions and Parisian Barrier Options
• The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The Time Value of Ruin in a Sparre Andersen Model

This page was built for publication: The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model