The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model
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Publication:5019751
DOI10.1080/10920277.2007.10597471zbMath1480.91079OpenAlexW2056528394MaRDI QIDQ5019751
Publication date: 10 January 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2007.10597471
Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)
Related Items (19)
On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ The Gerber-Shiu penalty functions for two classes of renewal risk processes ⋮ On dividends in the phase–type dual risk model ⋮ The stationary bootstrap for the joint distribution of sum and maximum of stationary sequences ⋮ Some ruin problems for the MAP risk model ⋮ The discounted penalty function with multi-layer dividend strategy in the phase-type risk model ⋮ Analysis of the discounted sum of ascending ladder heights ⋮ The tax identity for Markov additive risk processes ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ On the total operating costs up to default in a renewal risk model ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times ⋮ A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model ⋮ The distribution of total dividend payments in a Sparre Andersen model ⋮ The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model ⋮ “The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008 ⋮ The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds ⋮ On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
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- Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
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