The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model

DOI10.1080/10920277.2008.10597533zbMath1481.91176OpenAlexW2093850839MaRDI QIDQ5022555

Shuanming Li

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597533

Mathematics Subject Classification ID

Laplace transform (44A10) Actuarial mathematics (91G05)

Related Items

The Gerber-Shiu penalty functions for two classes of renewal risk processes ⋮ The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model ⋮ SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL ⋮ On the time and the number of claims when the surplus drops below a certain level ⋮ On dividends in the phase–type dual risk model ⋮ On the number of claims until ruin in a two-barrier renewal risk model with Erlang mixtures ⋮ On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ Optimal Parisian-type dividend payments penalized by the number of claims for the classical and perturbed classical risk process ⋮ The discounted penalty function with multi-layer dividend strategy in the phase-type risk model ⋮ The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model ⋮ The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ The distribution of total dividend payments in a Sparre Andersen model ⋮ The time of ultimate recovery in Gaussian risk model

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