DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS

DOI10.1017/asb.2012.2zbMath1284.91270OpenAlexW2136139078MaRDI QIDQ5398342

Tianxiang Shi, David Landriault

Publication date: 27 February 2014

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2012.2

zbMATH Keywords

time to ruinfinite-time ruin probabilitynumber of claims until ruin\(\text K_m/\text G/1\) queueing modelcombination of \(n\) exponentialsduration of a busy periodmultivariate Lagrange expansion theorem

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25)

Related Items (9)

On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ Nonparametric estimation of the finite time ruin probability in the classical risk model ⋮ Duality in ruin problems for ordered risk models ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ On the distribution of classic and some exotic ruin times ⋮ Fraud risk assessment within blockchain transactions ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Note on stability of the ruin time density in a Sparre Andersen risk model with exponential claim sizes

Cites Work

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• Passage times in fluid models with application to risk processes
• Taylor series based finite difference approximations of higher-degree derivatives
• Stationary distributions for fluid flow models with or without brownian noise
• Fitting combinations of exponentials to probability distributions
• The Time Value of Ruin in a Sparre Andersen Model

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