“Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003

DOI10.1080/10920277.2003.10596110zbMath1084.60545OpenAlexW2105508793MaRDI QIDQ5715929

Hans U. Gerber, Elias S. W. Shiu

Publication date: 5 January 2006

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

Full work available at URL: https://doi.org/10.1080/10920277.2003.10596110

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (16)

On the discounted distribution functions for the Erlang(2) risk process ⋮ Ruin problems in the generalized Erlang(\(n\)) risk model ⋮ The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion ⋮ The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models. ⋮ On a general class of renewal risk process: analysis of the Gerber-Shiu function ⋮ “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003 ⋮ “Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003 ⋮ The Time Value of Ruin in a Sparre Andersen Model ⋮ Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model ⋮ On a class of renewal risk models with a constant dividend barrier ⋮ On the expected discounted penalty functions for two classes of risk processes ⋮ The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion ⋮ Ruin Probabilities for Two Classes of Risk Processes ⋮ On a class of discrete time renewal risk models

Cites Work

• Unnamed Item
• On the time to ruin for Erlang(2) risk processes.
• When does a renewal, or other stationary point process, start?
• On a Class of Renewal Risk Processes

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