On a discrete risk model with two-sided jumps
From MaRDI portal
Publication:966097
DOI10.1016/j.cam.2010.01.047zbMath1188.91091OpenAlexW2042158933MaRDI QIDQ966097
Publication date: 27 April 2010
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2010.01.047
generating functiondiscrete phase-type distributiondiscounted penalty functiondiscrete renewal risk model
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Ruin probabilities in the compound binomial model
- On the time to ruin and the deficit at ruin in a risk model with double-sided jumps
- On ruin for the Erlang \((n)\) risk process
- An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
- Discounted probabilities and ruin theory in the compound binomial model
- Ruin problems in a discrete Markov risk model
- On a class of discrete time renewal risk models
- Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
- On a generalization of the expected discounted penalty function in a discrete-time insurance risk model
- Introduction to Matrix Analytic Methods in Stochastic Modeling
- Phase-type distributions and risk processes with state-dependent premiums
- On a class of renewal risk model with random income
- The time to ruin for a class of Markov additive risk process with two-sided jumps
- Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
- A Review on Phase-type Distributions and their Use in Risk Theory
- 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 the Time Value of Ruin
This page was built for publication: On a discrete risk model with two-sided jumps
