Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
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Publication:654814
DOI10.1016/j.insmatheco.2011.05.006zbMath1229.91161OpenAlexW2032607318MaRDI QIDQ654814
David Landriault, Gordon E. Willmot, Tianxiang Shi
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.05.006
exponential distributionsurplus prior to ruintime of ruinmixed Erlang distributionnumber of claims until ruindefective renewal equationcompound geometric tailLagrange's expansion theorem
Related Items (24)
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Cites Work
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- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
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- Ruin probabilities based at claim instants for some non-Poisson claim processes
- Erlang risk models and finite time ruin problems
- On the Density and Moments of the Time of Ruin with Exponential Claims
- Direct Derivation of Finite-Time Ruin Probabilities in the Discrete Risk Model with Exponential or Geometric Claims
- On the Class of Erlang Mixtures with Risk Theoretic Applications
- On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
- The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
- The Density of the Time to Ruin in the Classical Poisson Risk Model
- On the Time Value of Ruin
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