Some ruin problems for the MAP risk model

DOI10.1016/j.insmatheco.2015.08.001zbMath1348.91163OpenAlexW1143074037MaRDI QIDQ896202

David C. M. Dickson, Jingchao Li, Shuanming Li

Publication date: 14 December 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.001

zbMATH Keywords

MAP risk modelnumber of claims until ruinfinite time ruin probabilitydensity of time of ruinmoments of time of ruin

Mathematics Subject Classification ID

Related Items (14)

A note on some joint distribution functions involving the time of ruin ⋮ Banach contraction principle and ruin probabilities in regime-switching models ⋮ Analysis of some ruin-related quantities in a Markov-modulated risk model ⋮ A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model ⋮ On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates ⋮ A new uncertain insurance model with variational lower limit ⋮ On a discrete interaction risk model with delayed claims and randomized dividends ⋮ Ruin-related problems in the dual risk model under two different randomized observations ⋮ Some state-specific exit probabilities in a Markov-modulated risk model ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ The expected discounted penalty function: from infinite time to finite time ⋮ The mean chance of ultimate ruin time in random fuzzy insurance risk model ⋮ 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

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