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The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process

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  • Ren, Jiandong

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  • Ren, Jiandong, 2005. "The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 505-521, December.
  • Handle: RePEc:eee:insuma:v:37:y:2005:i:3:p:505-521
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    References listed on IDEAS

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    1. 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.
    2. Tsai, Cary Chi-Liang & Willmot, Gordon E., 2002. "A generalized defective renewal equation for the surplus process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 51-66, February.
    3. 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.
    4. 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.
    5. 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.
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    Cited by:

    1. Maite Teresa Marmol Jimenez & M. Mercedes Claramunt Bielsa, 2006. "Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier," Working Papers in Economics 157, Universitat de Barcelona. Espai de Recerca en Economia.
    2. Chi, Yichun & Lin, X. Sheldon, 2011. "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May.
    3. Diko, Peter & Usábel, Miguel, 2011. "A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 126-131, July.
    4. Chi, Yichun & Jaimungal, Sebastian & Lin, X. Sheldon, 2010. "An insurance risk model with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 52-66, February.
    5. Chi, Yichun, 2010. "Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 385-396, April.
    6. 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.

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