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On the Evaluation of Expected Penalties at Claim Instants That Cause Ruin in the Classical Risk Model

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  • Yi Lu

    (Simon Fraser University)

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  • Yi Lu, 2016. "On the Evaluation of Expected Penalties at Claim Instants That Cause Ruin in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 237-255, March.
    • Handle: RePEc:spr:metcap:v:18:y:2016:i:1:d:10.1007_s11009-014-9413-8
    DOI: 10.1007/s11009-014-9413-8
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    References listed on IDEAS

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    1. Stanford, David A. & Stroinski, Krzysztof J. & Lee, Karen, 2000. "Ruin probabilities based at claim instants for some non-Poisson claim processes," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 251-267, May.
    2. Willmot, Gordon E., 2007. "On the discounted penalty function in the renewal risk model with general interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 17-31, July.
    3. Landriault, David & Shi, Tianxiang & Willmot, Gordon E., 2011. "Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 371-379.
    4. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    5. De Vylder, F. Etienne & Goovaerts, Marc J., 1999. "Explicit finite-time and infinite-time ruin probabilities in the continuous case," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 155-172, May.
    6. Dickson, David C. M. & Hipp, Christian, 2001. "On the time to ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 333-344, December.
    7. Hans Gerber & Elias Shiu, 2005. "The Time Value of Ruin in a Sparre Andersen Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 9(2), pages 49-69.
    8. Li, Shuanming & Garrido, Jose, 2004. "On ruin for the Erlang(n) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 391-408, June.
    9. Garcia, Jorge M.A., 2005. "Explicit Solutions for Survival Probabilities in the Classical Risk Model," ASTIN Bulletin, Cambridge University Press, vol. 35(1), pages 113-130, May.
    10. Egidio dos Reis, Alfredo D., 2002. "How many claims does it take to get ruined and recovered?," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 235-248, October.
    11. Dickson, David C.M., 2012. "The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 334-337.
    12. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
    13. Stanford, D.A. & Stroiński, K.J., 1994. "Recursive Methods for Computing Finite-Time Ruin Probabilities for Phase-Distributed Claim Sizes," ASTIN Bulletin, Cambridge University Press, vol. 24(2), pages 235-254, November.
    14. Avram, F. & Usábel, M., 2004. "Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times," ASTIN Bulletin, Cambridge University Press, vol. 34(2), pages 315-332, November.
    15. Avram, Florin & Usabel, Miguel, 2003. "Finite time ruin probabilities with one Laplace inversion," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 371-377, July.
    16. Dickson, David C. M. & Waters, Howard R., 1991. "Recursive Calculation of Survival Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 199-221, November.
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