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Alfredo D. Egidio dos Reis

Personal Details

First Name:Alfredo
Middle Name:D.
Last Name:Egidio dos Reis
Suffix:
RePEc Short-ID:peg9
https://www.iseg.ulisboa.pt/aquila/homepage/alfredo

Affiliation

(50%) Centro de Matemática Aplicada à Previsão e Decisão Económica (CEMAPRE)
Research in Economics and Mathematics (REM)
Instituto Superior de Economia e Gestão (ISEG)
Universidade de Lisboa

Lisboa, Portugal
http://cemapre.iseg.ulisboa.pt/
RePEc:edi:cmutlpt (more details at EDIRC)

(50%) Instituto Superior de Economia e Gestão (ISEG)
Universidade de Lisboa

Lisboa, Portugal
http://www.iseg.ulisboa.pt/
RePEc:edi:isutlpt (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Yacine Koucha & Alfredo D. Egidio dos Reis, 2021. "Approximations to ultimate ruin probabilities with a Wienner process perturbation," Papers 2107.02537, arXiv.org.

Articles

  1. Renata G. Alcoforado & Agnieszka I. Bergel & Rui M. R. Cardoso & Alfredo D. Egídio dos Reis & Eugenio V. Rodríguez-Martínez, 2022. "Ruin and Dividend Measures in the Renewal Dual Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 537-569, June.
  2. Lourdes B. Afonso & Rui M. R. Cardoso & Alfredo D. Egídio dos Reis & Gracinda R. Guerreiro, 2020. "Ruin Probabilities And Capital Requirement for Open Automobile Portfolios With a Bonus‐Malus System Based on Claim Counts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 501-522, June.
  3. Afonso, Lourdes B. & Cardoso, Rui M. R. & Egídio dos Reis, Alfredo D. & Guerreiro, Gracinda Rita, 2017. "Measuring The Impact Of A Bonus-Malus System In Finite And Continuous Time Ruin Probabilities For Large Portfolios In Motor Insurance," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 417-435, May.
  4. Rodríguez-Martínez, Eugenio V. & Cardoso, Rui M. R. & Egídio dos Reis, Alfredo D., 2015. "SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL," ASTIN Bulletin, Cambridge University Press, vol. 45(1), pages 127-150, January.
  5. Afonso, Lourdes B. & Cardoso, Rui M.R. & Egídio dos Reis, Alfredo D., 2013. "Dividend problems in the dual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 906-918.
  6. Afonso, Lourdes B. & Reis, Alfredo D. Egídio dos & Waters, Howard R., 2010. "Numerical Evaluation of Continuous Time Ruin Probabilities for a Portfolio with Credibility Updated Premiums," ASTIN Bulletin, Cambridge University Press, vol. 40(1), pages 399-414, May.
  7. Afonso, Lourdes B. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 2009. "Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 117-136, May.
  8. Centeno, Maria de Lourdes & Simoes, Onofre & Silva, Joao Andrade e & dos Reis, Alfredo Egidio, 2003. "Preface," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 209-209, October.
  9. Lima, Fátima D.P. & Garcia, Jorge M.A. & Egídio Dos Reis, Alfredo D., 2002. "Fourier/Laplace Transforms and Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 91-105, 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. Cardoso, Rui M. R. & Egidio dos Reis, Alfredo D., 2002. "Recursive calculation of time to ruin distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 219-230, April.
  12. Egidio dos Reis, Alfredo D., 2000. "On the moments of ruin and recovery times," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 331-343, December.
  13. Dickson, David C. M. & Egidio dos Reis, Alfredo D., 1997. "The effect of interest on negative surplus," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 1-16, October.
  14. Dickson, David C.M. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 1995. "Some Stable Algorithms in Ruin Theory and Their Applications," ASTIN Bulletin, Cambridge University Press, vol. 25(2), pages 153-175, November.
  15. Dickson, David C. M. & dos Reis, Alfredo Egidio, 1994. "Ruin problems and dual events," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 51-60, April.
  16. Egidio dos Reis, Alfredo, 1993. "How long is the surplus below zero?," Insurance: Mathematics and Economics, Elsevier, vol. 12(1), pages 23-38, February.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

    Sorry, no citations of working papers recorded.

Articles

  1. Renata G. Alcoforado & Agnieszka I. Bergel & Rui M. R. Cardoso & Alfredo D. Egídio dos Reis & Eugenio V. Rodríguez-Martínez, 2022. "Ruin and Dividend Measures in the Renewal Dual Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 537-569, June.

    Cited by:

    1. Yacine Koucha & Alfredo D. Egidio dos Reis, 2021. "Approximations to ultimate ruin probabilities with a Wienner process perturbation," Papers 2107.02537, arXiv.org.

  2. Lourdes B. Afonso & Rui M. R. Cardoso & Alfredo D. Egídio dos Reis & Gracinda R. Guerreiro, 2020. "Ruin Probabilities And Capital Requirement for Open Automobile Portfolios With a Bonus‐Malus System Based on Claim Counts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 501-522, June.

    Cited by:

    1. Dhiti Osatakul & Xueyuan Wu, 2021. "Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment," Risks, MDPI, vol. 9(1), pages 1-23, January.
    2. Osatakul, Dhiti & Li, Shuanming & Wu, Xueyuan, 2023. "Discrete-time risk models with surplus-dependent premium corrections," Applied Mathematics and Computation, Elsevier, vol. 437(C).
    3. M. Mercè Claramunt & Maite Mármol & Xavier Varea, 2023. "Facing a Risk: To Insure or Not to Insure—An Analysis with the Constant Relative Risk Aversion Utility Function," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
    4. Manuel L. Esquível & Nadezhda P. Krasii & Gracinda R. Guerreiro, 2021. "Open Markov Type Population Models: From Discrete to Continuous Time," Mathematics, MDPI, vol. 9(13), pages 1-29, June.

  3. Afonso, Lourdes B. & Cardoso, Rui M. R. & Egídio dos Reis, Alfredo D. & Guerreiro, Gracinda Rita, 2017. "Measuring The Impact Of A Bonus-Malus System In Finite And Continuous Time Ruin Probabilities For Large Portfolios In Motor Insurance," ASTIN Bulletin, Cambridge University Press, vol. 47(2), pages 417-435, May.

    Cited by:

    1. Lourdes B. Afonso & Rui M. R. Cardoso & Alfredo D. Egídio dos Reis & Gracinda R. Guerreiro, 2020. "Ruin Probabilities And Capital Requirement for Open Automobile Portfolios With a Bonus‐Malus System Based on Claim Counts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 501-522, June.
    2. Dhiti Osatakul & Xueyuan Wu, 2021. "Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment," Risks, MDPI, vol. 9(1), pages 1-23, January.
    3. Osatakul, Dhiti & Li, Shuanming & Wu, Xueyuan, 2023. "Discrete-time risk models with surplus-dependent premium corrections," Applied Mathematics and Computation, Elsevier, vol. 437(C).
    4. Jorge Wilson Euphasio Junior & João Vinícius França Carvalho, 2022. "Resseguro e Capital de Solvência: Atenuantes da Probabilidade de Ruína de SeguradorasReinsurance and Solvency Capital: Mitigating Insurance Companies’ Ruin Probability," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 26(1), pages 200191-2001.

  4. Rodríguez-Martínez, Eugenio V. & Cardoso, Rui M. R. & Egídio dos Reis, Alfredo D., 2015. "SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL," ASTIN Bulletin, Cambridge University Press, vol. 45(1), pages 127-150, January.

    Cited by:

    1. Krishnamurthy, Rashmi & Awazu, Yukika, 2016. "Liberating data for public value: The case of Data.gov," International Journal of Information Management, Elsevier, vol. 36(4), pages 668-672.
    2. Han, Dongsu & Baek, Sanghoon, 2017. "Status of renewable capacity for electricity generation and future prospects in Korea: Global trends and domestic strategies," Renewable and Sustainable Energy Reviews, Elsevier, vol. 76(C), pages 1524-1533.

  5. Afonso, Lourdes B. & Cardoso, Rui M.R. & Egídio dos Reis, Alfredo D., 2013. "Dividend problems in the dual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 906-918.

    Cited by:

    1. Goffard, Pierre-Olivier & Lefèvre, Claude, 2018. "Duality in ruin problems for ordered risk models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 44-52.
    2. Yang, Chen & Sendova, Kristina P. & Li, Zhong, 2020. "Parisian ruin with a threshold dividend strategy under the dual Lévy risk model," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 135-150.
    3. Yongwu Li & Zhongfei Li & Yan Zeng, 2016. "Equilibrium Dividend Strategy with Non-exponential Discounting in a Dual Model," Journal of Optimization Theory and Applications, Springer, vol. 168(2), pages 699-722, February.
    4. Ewa Marciniak & Zbigniew Palmowski, 2018. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 533-552, November.
    5. Lingjiong Zhu, 2015. "A State-Dependent Dual Risk Model," Papers 1510.03920, arXiv.org, revised Feb 2023.
    6. Ewa Marciniak & Zbigniew Palmowski, 2016. "On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums," Papers 1605.04584, arXiv.org.
    7. Tao Sun & Xinqiu Zhang, 2024. "Laplace Transformation of the Ruin Time for a Risk Model with a Parisian Implementation Delay," Mathematics, MDPI, vol. 12(4), pages 1-12, February.
    8. Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki, 2016. "On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models," Papers 1607.01902, arXiv.org, revised Nov 2016.
    9. Avanzi, Benjamin & Pérez, José-Luis & Wong, Bernard & Yamazaki, Kazutoshi, 2017. "On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 148-162.
    10. Cheung, Eric C.K. & Wong, Jeff T.Y., 2017. "On the dual risk model with Parisian implementation delays in dividend payments," European Journal of Operational Research, Elsevier, vol. 257(1), pages 159-173.
    11. Arash Fahim & Lingjiong Zhu, 2016. "Asymptotic Analysis for Optimal Dividends in a Dual Risk Model," Papers 1601.03435, arXiv.org, revised Dec 2022.
    12. Arash Fahim & Lingjiong Zhu, 2015. "Optimal Investment in a Dual Risk Model," Papers 1510.04924, arXiv.org, revised Feb 2023.
    13. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2015. "On finite-time ruin probabilities in a generalized dual risk model with dependence," European Journal of Operational Research, Elsevier, vol. 242(1), pages 134-148.

  6. Afonso, Lourdes B. & Reis, Alfredo D. Egídio dos & Waters, Howard R., 2010. "Numerical Evaluation of Continuous Time Ruin Probabilities for a Portfolio with Credibility Updated Premiums," ASTIN Bulletin, Cambridge University Press, vol. 40(1), pages 399-414, May.

    Cited by:

    1. Gauchon, Romain & Loisel, Stéphane & Rullière, Jean-Louis & Trufin, Julien, 2020. "Optimal prevention strategies in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 202-208.
    2. Osatakul, Dhiti & Li, Shuanming & Wu, Xueyuan, 2023. "Discrete-time risk models with surplus-dependent premium corrections," Applied Mathematics and Computation, Elsevier, vol. 437(C).
    3. Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012. "An adaptive premium policy with a Bayesian motivation in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378.
    4. Li, Shu & Landriault, David & Lemieux, Christiane, 2015. "A risk model with varying premiums: Its risk management implications," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 38-46.

  7. Afonso, Lourdes B. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 2009. "Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 117-136, May.

    Cited by:

    1. Lourdes B. Afonso & Rui M. R. Cardoso & Alfredo D. Egídio dos Reis & Gracinda R. Guerreiro, 2020. "Ruin Probabilities And Capital Requirement for Open Automobile Portfolios With a Bonus‐Malus System Based on Claim Counts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 501-522, June.
    2. Dhiti Osatakul & Xueyuan Wu, 2021. "Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment," Risks, MDPI, vol. 9(1), pages 1-23, January.
    3. Osatakul, Dhiti & Li, Shuanming & Wu, Xueyuan, 2023. "Discrete-time risk models with surplus-dependent premium corrections," Applied Mathematics and Computation, Elsevier, vol. 437(C).
    4. Corina Constantinescu & Suhang Dai & Weihong Ni & Zbigniew Palmowski, 2016. "Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window," Risks, MDPI, vol. 4(2), pages 1-23, June.
    5. Li, Shu & Landriault, David & Lemieux, Christiane, 2015. "A risk model with varying premiums: Its risk management implications," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 38-46.

  8. Lima, Fátima D.P. & Garcia, Jorge M.A. & Egídio Dos Reis, Alfredo D., 2002. "Fourier/Laplace Transforms and Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 32(1), pages 91-105, May.

    Cited by:

    1. Pawel Mista, 2006. "Analytical and numerical approach to corporate operational risk modelling," HSC Research Reports HSC/06/03, Hugo Steinhaus Center, Wroclaw University of Technology.

  9. 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.

    Cited by:

    1. Liu, Peng & Zhang, Chunsheng & Ji, Lanpeng, 2017. "A note on ruin problems in perturbed classical risk models," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 28-33.
    2. 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.
    3. 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.
    4. 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.
    5. Frostig, Esther & Pitts, Susan M. & Politis, Konstadinos, 2012. "The time to ruin and the number of claims until ruin for phase-type claims," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 19-25.
    6. Li, Jingchao & Dickson, David C.M. & Li, Shuanming, 2015. "Some ruin problems for the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 1-8.

  10. Cardoso, Rui M. R. & Egidio dos Reis, Alfredo D., 2002. "Recursive calculation of time to ruin distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 219-230, April.

    Cited by:

    1. Cardoso, Rui M. R. & R. Waters, Howard, 2003. "Recursive calculation of finite time ruin probabilities under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 659-676, December.
    2. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    3. Tamturk, Muhsin & Utev, Sergey, 2018. "Ruin probability via Quantum Mechanics Approach," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 69-74.
    4. 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. Egidio dos Reis, Alfredo D., 2000. "On the moments of ruin and recovery times," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 331-343, December.

    Cited by:

    1. Lee, Wing Yan & Willmot, Gordon E., 2014. "On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 1-10.
    2. Vaios Dermitzakis & Konstadinos Politis, 2011. "Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 749-761, December.
    3. Liu, Jingchen & Woo, Jae-Kyung, 2014. "Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 1-9.
    4. Hüsler, Jürg & Zhang, Yueming, 2008. "On first and last ruin times of Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1230-1235, August.
    5. Philipp Lukas Strietzel & Anita Behme, 2022. "Moments of the Ruin Time in a Lévy Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3075-3099, December.
    6. Li, Shuanming & Garrido, José, 2002. "On the time value of ruin in the discrete time risk model," DEE - Working Papers. Business Economics. WB wb021812, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    7. Hüsler, Jürg & Piterbarg, Vladimir, 2008. "A limit theorem for the time of ruin in a Gaussian ruin problem," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 2014-2021, November.
    8. Esther Frostig & Adva Keren–Pinhasik, 2017. "Parisian ruin in the dual model with applications to the G/M/1 queue," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August.
    9. 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.
    10. Jiechang Ruan & Wenguang Yu & Ke Song & Yihan Sun & Yujuan Huang & Xinliang Yu, 2019. "A Note on a Generalized Gerber–Shiu Discounted Penalty Function for a Compound Poisson Risk Model," Mathematics, MDPI, vol. 7(10), pages 1-12, September.

  12. Dickson, David C. M. & Egidio dos Reis, Alfredo D., 1997. "The effect of interest on negative surplus," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 1-16, October.

    Cited by:

    1. Min Song & Rong Wu & Xin Zhang, 2008. "Total duration of negative surplus for the dual model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(6), pages 591-600, November.
    2. Li, Shuanming & Lu, Yi, 2013. "On the generalized Gerber–Shiu function for surplus processes with interest," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 127-134.
    3. Ramsden, Lewis & Papaioannou, Apostolos D., 2019. "Ruin probabilities under capital constraints," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 273-282.
    4. Chunwei Wang & Chuancun Yin, 2009. "Dividend payments in the classical risk model under absolute ruin with debit interest," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 247-262, May.
    5. Yuan, Haili & Hu, Yijun, 2008. "Absolute ruin in the compound Poisson risk model with constant dividend barrier," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2086-2094, October.
    6. Chuancun Yin & Chunwei Wang, 2010. "The Perturbed Compound Poisson Risk Process with Investment and Debit Interest," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 391-413, September.
    7. Ming, Rui-Xing & Wang, Wen-Yuan & Xiao, Li-Qun, 2010. "On the time value of absolute ruin with tax," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 67-84, February.
    8. Yang, Hu & Zhang, Zhimin & Lan, Chunmei, 2008. "On the time value of absolute ruin for a multi-layer compound Poisson model under interest force," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1835-1845, September.
    9. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.

  13. Dickson, David C.M. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 1995. "Some Stable Algorithms in Ruin Theory and Their Applications," ASTIN Bulletin, Cambridge University Press, vol. 25(2), pages 153-175, November.

    Cited by:

    1. Lin, X. Sheldon & Willmot, Gordon E., 1999. "Analysis of a defective renewal equation arising in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 63-84, September.
    2. Dickson, David C. M. & Egidio dos Reis, Alfredo D., 1997. "The effect of interest on negative surplus," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 1-16, October.
    3. Dickson, David C. M. & Hipp, Christian, 1998. "Ruin probabilities for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 251-262, July.
    4. Dickson, David C. M. & Waters, Howard R., 1999. "Ruin probabilities with compounding assets," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 49-62, September.
    5. Cossette, Helene & Landriault, David & Marceau, Etienne, 2004. "Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 449-466, June.
    6. Sung Soo Kim & Steve Drekic, 2016. "Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends," Risks, MDPI, vol. 4(1), pages 1-15, February.
    7. Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve, 2003. "The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 551-566, December.
    8. Psarrakos, Georgios & Politis, Konstadinos, 2008. "Tail bounds for the joint distribution of the surplus prior to and at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 163-176, February.
    9. Cai, Jun & Dickson, David C. M., 2003. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 61-71, February.
    10. Ramsay, Colin M., 2003. "A solution to the ruin problem for Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 109-116, August.
    11. Cardoso, Rui M. R. & Egidio dos Reis, Alfredo D., 2002. "Recursive calculation of time to ruin distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 219-230, April.
    12. Usabel, Miguel, 1999. "Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 133-142, November.
    13. Aparna B. S & Neelesh S Upadhye, 2019. "On the Compound Beta-Binomial Risk Model with Delayed Claims and Randomized Dividends," Papers 1908.03407, arXiv.org.
    14. Stanisław Heilpern, 2010. "Dependent discrete risk processes - calculation of the probability of ruin," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(2), pages 59-76.
    15. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
    16. Dickson, David C. M. & Waters, Howard R., 1996. "Reinsurance and ruin," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 61-80, December.
    17. Egidio dos Reis, Alfredo D., 2000. "On the moments of ruin and recovery times," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 331-343, December.
    18. Willmot, Gordon E. & Sheldon Lin, X., 1998. "Exact and approximate properties of the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 91-110, October.
    19. Hyunjoo Yoo & Bara Kim & Jeongsim Kim & Jiwook Jang, 2020. "Transform approach for discounted aggregate claims in a risk model with descendant claims," Annals of Operations Research, Springer, vol. 293(1), pages 175-192, October.
    20. Cossette, Helene & Landriault, David & Marceau, Etienne, 2004. "Compound binomial risk model in a markovian environment," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 425-443, October.

  14. Dickson, David C. M. & dos Reis, Alfredo Egidio, 1994. "Ruin problems and dual events," Insurance: Mathematics and Economics, Elsevier, vol. 14(1), pages 51-60, April.

    Cited by:

    1. Claude Lefèvre & Philippe Picard, 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach," Risks, MDPI, vol. 1(3), pages 1-21, December.
    2. Lanpeng Ji & Chunsheng Zhang, 2014. "A Duality Result for the Generalized Erlang Risk Model," Risks, MDPI, vol. 2(4), pages 1-11, November.
    3. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
    4. Tsai, Cary Chi-Liang, 2001. "On the discounted distribution functions of the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 401-419, June.
    5. Chiu, S. N. & Yin, C. C., 2003. "The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 59-66, August.
    6. Hailiang Yang & Lihong Zhang, 2006. "Ruin problems for a discrete time risk model with random interest rate," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(2), pages 287-299, May.
    7. Willmot, Gordon E. & Sheldon Lin, X., 1998. "Exact and approximate properties of the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 91-110, October.

  15. Egidio dos Reis, Alfredo, 1993. "How long is the surplus below zero?," Insurance: Mathematics and Economics, Elsevier, vol. 12(1), pages 23-38, February.

    Cited by:

    1. Min Song & Rong Wu & Xin Zhang, 2008. "Total duration of negative surplus for the dual model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(6), pages 591-600, November.
    2. Wagner, Christian, 2002. "Time in the red in a two state Markov model," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 365-372, December.
    3. David Landriault & Bin Li & Mohamed Amine Lkabous, 2019. "On occupation times in the red of L\'evy risk models," Papers 1903.03721, arXiv.org, revised Jul 2019.
    4. Mousa, A.S. & Pinheiro, D. & Pinto, A.A., 2016. "Optimal life-insurance selection and purchase within a market of several life-insurance providers," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 133-141.
    5. Dickson, David C. M. & Egidio dos Reis, Alfredo D., 1997. "The effect of interest on negative surplus," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 1-16, October.
    6. Landriault, David & Shi, Tianxiang, 2015. "Occupation times in the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 75-82.
    7. Shuanming Li & Yi Lu & Can Jin, 2016. "Number of Jumps in Two-Sided First-Exit Problems for a Compound Poisson Process," Methodology and Computing in Applied Probability, Springer, vol. 18(3), pages 747-764, September.
    8. Landriault, David & Renaud, Jean-François & Zhou, Xiaowen, 2011. "Occupation times of spectrally negative Lévy processes with applications," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2629-2641, November.
    9. Wong, Jeff T.Y. & Cheung, Eric C.K., 2015. "On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 280-290.
    10. Li, Shuanming & Ren, Jiandong, 2013. "The maximum severity of ruin in a perturbed risk process with Markovian arrivals," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 993-998.
    11. Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016. "On the occupation times in a delayed Sparre Andersen risk model with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 304-316.
    12. Cheung, Eric C.K. & Wong, Jeff T.Y., 2017. "On the dual risk model with Parisian implementation delays in dividend payments," European Journal of Operational Research, Elsevier, vol. 257(1), pages 159-173.
    13. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    14. Kolkovska, Ekaterina T. & Lopez-Mimbela, Jose A. & Morales, Jose Villa, 2005. "Occupation measure and local time of classical risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 573-584, December.
    15. Zhang, Chunsheng & Wang, Guojing, 2003. "The joint density function of three characteristics on jump-diffusion risk process," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 445-455, July.
    16. Landriault, David & Li, Bin & Lkabous, Mohamed Amine, 2020. "On occupation times in the red of Lévy risk models," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 17-26.
    17. Gerber, Hans U. & Landry, Bruno, 1998. "On the discounted penalty at ruin in a jump-diffusion and the perpetual put option," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 263-276, July.
    18. Yitao Yang & Jingmin He & Zhongqin Gao & Bingbing Wang, 2017. "Exit times for the diffusion risk model with debit interest," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 8(2), pages 1810-1815, November.
    19. Esther Frostig & Adva Keren–Pinhasik, 2017. "Parisian ruin in the dual model with applications to the G/M/1 queue," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August.
    20. Egidio dos Reis, Alfredo D., 2000. "On the moments of ruin and recovery times," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 331-343, December.
    21. Willmot, Gordon E. & Sheldon Lin, X., 1998. "Exact and approximate properties of the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 91-110, October.
    22. 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.
    23. He, Jingmin & Wu, Rong & Zhang, Huayue, 2009. "Total duration of negative surplus for the risk model with debit interest," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1320-1326, May.

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