On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes

DOI10.1080/03461238.2014.900519zbMath1401.91109OpenAlexW2130316406MaRDI QIDQ4576958

Jae-Kyung Woo, Eric C. K. Cheung

Publication date: 11 July 2018

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

Full work available at URL: http://hdl.handle.net/10722/200914

zbMATH Keywords

covariancehigher momentsCoxian distributiondiscounted aggregate claims until ruindiscounted densitiesdependent Sparre Andersen risk model

Mathematics Subject Classification ID

Related Items (7)

On a generalized Gerber-Shiu function in a compound Poisson model perturbed by diffusion ⋮ The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ Discounted aggregate claim costs until ruin in the discrete-time renewal risk model ⋮ An IBNR-RBNS insurance risk model with marked Poisson arrivals ⋮ Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• On the total operating costs up to default in a renewal risk model
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• An introduction to copulas.
• On ruin for the Erlang \((n)\) risk process
• On the discounted penalty function in the renewal risk model with general interclaim times
• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
• On the time to ruin for Erlang(2) risk processes.
• Moment-based approximations of distributions using mixtures: Theory and applications
• On a Sparre Andersen risk model with time-dependent claim sizes and jump-diffusion perturbation
• A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
• A note on discounted compound renewal sums under dependency
• On the analysis of a general class of dependent risk processes
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times
• On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
• On orderings and bounds in a generalized Sparre Andersen risk model
• The Covariance Between the Surplus Prior to and at Ruin in the Classical Risk Model
• A generalized penalty function for a class of discrete renewal processes
• First Passage of a Markov Additive Process and Generalized Jordan Chains
• Analysis of ruin measures for the classical compound Poisson risk model with dependence
• On a risk model with dependence between interclaim arrivals and claim sizes
• Some Remarks on Delayed Renewal Risk Models
• Dependent Risk Models with Bivariate Phase-Type Distributions
• On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula
• A note on deficit analysis in dependency models involving Coxian claim amounts
• Applied Probability and Queues
• On the expectation of total discounted operating costs up to default and its applications
• Analysis of the multiple roots of the Lundberg fundamental equation in the PH (n) risk model
• Exponential Behavior in the Presence of Dependence in Risk Theory
• On the Time Value of Ruin
• Moment generating functions of compound renewal sums with discounted claims

This page was built for publication: On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes