The ruin time under the Sparre Andersen dual model
type: Item
instance of: scholarly article
title: The ruin time under the Sparre Andersen dual model
zbMATH Open document ID: 1292.91096
author: Chen Yang
author: Kristina P. Sendova
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
review text: The paper deals with the Sparre Andersen dual risk model, where the times between positive gains are i.i.d. with a generalized Erlang(\(n\)) distribution. In particular, the authors derive a suitable homogeneous integro-differential equation related to the Laplace transform of the ruin time. Then the solution of the aforementioned equation is given, after the number of roots of the Lundberg equation has been studied. Finally, within the considered Sparre Andersen dual model, some results involving the expected discounted dividends are framed.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60K10
zbMATH DE Number: 6306773
zbMATH Keywords: generalized Erlang(\(n\)) innovation times
zbMATH Keywords: generalized Lundberg equation
zbMATH Keywords: Laplace transform
zbMATH Keywords: Sparre Andersen dual risk model
reviewed by: Emilia Di Lorenzo
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.10.012
OpenAlex ID: W2000725332
cites work: On the dual risk model with tax payments
cites work: Optimal dividends in the dual model
cites work: The Time Value of Ruin in a Sparre Andersen Model
cites work: On the modification of Rouche's theorem for the queueing theory problems
cites work: A Direct Approach to a First-Passage Problem with Applications in Risk Theory
cites work: On a dual model with a dividend threshold
DOI: 10.1016/J.INSMATHECO.2013.10.012
description: scientific article; zbMATH DE number 6306773