Finite time ruin problems for the Erlang\((2)\) risk model

DOI10.1016/j.insmatheco.2009.05.001zbMath1231.91176OpenAlexW1977717603MaRDI QIDQ659176

Shuanming Li, David C. M. Dickson

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.001

Mathematics Subject Classification ID

Related Items (14)

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 ⋮ The finite time ruin probability in a risk model with capital injections ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model ⋮ The time to ruin and the number of claims until ruin for phase-type claims ⋮ Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ The expected discounted penalty function: from infinite time to finite time ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Modeling the effect of spending on cyber security by using surplus process ⋮ Erlang risk models and finite time ruin problems ⋮ Gerber-Shiu analysis of a risk model with capital injections

Cites Work

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• Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
• On the Density and Moments of the Time of Ruin with Exponential Claims
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson 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
• Explicit Solutions for Survival Probabilities in the Classical Risk Model
• On the Time Value of Ruin

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