“The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007
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Publication:5022537
DOI10.1080/10920277.2008.10597513zbMath1481.91047OpenAlexW2076862528MaRDI QIDQ5022537
Publication date: 19 January 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2008.10597513
Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)
Related Items (7)
On a perturbed MAP risk model under a threshold dividend strategy ⋮ Some ruin problems for the MAP risk model ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model ⋮ “The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008 ⋮ “On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren, April 2008 ⋮ “The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model,” Shuanming Li, October 2008
Cites Work
- On the discounted penalty function in a Markov-dependent risk model
- On the joint distribution of surplus before and after ruin under a Markovian regime switching model
- The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
- The queue GI/M/s with customers of different types or the queue GI/Hm/s
- A versatile Markovian point process
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