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The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Citations

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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. 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.
  3. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
  4. Danijel Grahovac, 2018. "Densities of Ruin-Related Quantities in the Cramér-Lundberg Model with Pareto Claims," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 273-288, March.
  5. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
  6. Lanpeng Ji & Chunsheng Zhang, 2014. "A Duality Result for the Generalized Erlang Risk Model," Risks, MDPI, vol. 2(4), pages 1-11, November.
  7. 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.
  8. Zied Ben Salah & Jos'e Garrido, 2017. "On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model," Papers 1710.11065, arXiv.org, revised Jun 2018.
  9. Biffis, Enrico & Morales, Manuel, 2010. "On a generalization of the Gerber-Shiu function to path-dependent penalties," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 92-97, February.
  10. Biffis, Enrico & Kyprianou, Andreas E., 2010. "A note on scale functions and the time value of ruin for Lévy insurance risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 85-91, February.
  11. 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.
  12. Dassios, Angelos & Wu, Shanle, 2008. "Ruin probabilities of the Parisian type for small claims," LSE Research Online Documents on Economics 32037, London School of Economics and Political Science, LSE Library.
  13. Woo, Jae-Kyung, 2011. "Refinements of two-sided bounds for renewal equations," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 189-196, March.
  14. Zhang, H.Y. & Zhou, M. & Guo, J.Y., 2006. "The Gerber-Shiu discounted penalty function for classical risk model with a two-step premium rate," Statistics & Probability Letters, Elsevier, vol. 76(12), pages 1211-1218, July.
  15. Hailiang Yang, 2000. "An Integrated Risk Management Method: VaR Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 201-219, September.
  16. Gao, Qi-bing & Wu, Yao-hua & Zhu, Chun-hua & Wei, Guang-hua, 2007. "Ruin problems in risk models with dependent rates of interest," Statistics & Probability Letters, Elsevier, vol. 77(8), pages 761-768, April.
  17. Willmot, Gordon E., 2004. "A note on a class of delayed renewal risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 251-257, April.
  18. Zhang, Zhimin & Yang, Hu, 2010. "A generalized penalty function in the Sparre-Andersen risk model with two-sided jumps," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 597-607, April.
  19. Ben Salah, Zied & Garrido, José, 2018. "On fair reinsurance premiums; Capital injections in a perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 11-20.
  20. Cho-Jieh Chen & Harry Panjer, 2009. "A bridge from ruin theory to credit risk," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 373-403, May.
  21. Wu, Rong & Wang, Guojing & Zhang, Chunsheng, 2005. "On a joint distribution for the risk process with constant interest force," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 365-374, June.
  22. 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.
  23. Xia Zhao & Bo Zhang, 2012. "Pricing perpetual options with stochastic discount interest rates," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(1), pages 341-349, January.
  24. Malinovskii, Vsevolod K., 2008. "Adaptive control strategies and dependence of finite time ruin on the premium loading," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 81-94, February.
  25. Jun Cai & Runhuan Feng & Gordon E. Willmot, 2009. "The Compound Poisson Surplus Model with Interest and Liquid Reserves: Analysis of the Gerber–Shiu Discounted Penalty Function," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 401-423, September.
  26. Landriault, David, 2008. "Constant dividend barrier in a risk model with interclaim-dependent claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 31-38, February.
  27. Safoora Zarei & Ali R. Fallahi, 2019. "Pay-As-You-Drive Insurance Pricing Model," Papers 1912.09273, arXiv.org.
  28. Wu, Rong & Wang, Guojing & Wei, Li, 2003. "Joint distributions of some actuarial random vectors containing the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 147-161, August.
  29. 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.
  30. 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.
  31. Willmot, Gordon E. & Dickson, David C. M., 2003. "The Gerber-Shiu discounted penalty function in the stationary renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 403-411, July.
  32. Morales, Manuel, 2007. "On the expected discounted penalty function for a perturbed risk process driven by a subordinator," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 293-301, March.
  33. Liu, Guoxin & Zhao, Jinyan, 2007. "Joint distributions of some actuarial random vectors in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 95-103, January.
  34. Cai, Jun, 2004. "Ruin probabilities and penalty functions with stochastic rates of interest," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 53-78, July.
  35. Lysa Porth & Milton Boyd & Jeffrey Pai, 2016. "Reducing Risk Through Pooling and Selective Reinsurance Using Simulated Annealing: An Example from Crop Insurance," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 163-191, September.
  36. Yang, Hailiang & Zhang, Lihong, 2001. "On the distribution of surplus immediately after ruin under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 247-255, October.
  37. Hassan Mazengera, 2017. "Revenue-based lending for SMEs," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-20, June.
  38. Tsai, Cary Chi-Liang & Sun, Li-juan, 2004. "On the discounted distribution functions for the Erlang(2) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 5-19, August.
  39. 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.
  40. 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.
  41. Albrecher, Hansjörg & Constantinescu, Corina & Pirsic, Gottlieb & Regensburger, Georg & Rosenkranz, Markus, 2010. "An algebraic operator approach to the analysis of Gerber-Shiu functions," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 42-51, February.
  42. Wei, Li & Wu, Rong, 2002. "The joint distributions of several important actuarial diagnostics in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 451-462, June.
  43. 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.
  44. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.
  45. Zhou, Xiaowen, 2004. "When does surplus reach a certain level before ruin?," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 553-561, December.
  46. Cheung, Eric C.K. & Landriault, David, 2010. "A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 127-134, February.
  47. Ambagaspitiya, Rohana S., 2009. "Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 464-472, June.
  48. Dassios, Angelos & Wu, Shanle, 2008. "Parisian ruin with exponential claims," LSE Research Online Documents on Economics 32033, London School of Economics and Political Science, LSE Library.
  49. 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.
  50. Cai, Jun & Dickson, David C. M., 2002. "On the expected discounted penalty function at ruin of a surplus process with interest," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 389-404, June.
  51. 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.
  52. Orbán Mihálykó, Éva & Mihálykó, Csaba, 2011. "Mathematical investigation of the Gerber-Shiu function in the case of dependent inter-claim time and claim size," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 378-383, May.
  53. 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.
  54. Cheng, Yebin & Tang, Qihe & Yang, Hailiang, 2002. "Approximations for moments of deficit at ruin with exponential and subexponential claims," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 367-378, October.
  55. Cheung, Eric C.K. & Landriault, David & Willmot, Gordon E. & Woo, Jae-Kyung, 2010. "Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 117-126, February.
  56. Gerber, Hans U. & Shiu, Elias S. W., 1999. "From ruin theory to pricing reset guarantees and perpetual put options," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 3-14, March.
  57. 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.
  58. 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.
  59. 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.
  60. 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.
  61. Jim (Junmin) Shi & Michael N. Katehakis & Benjamin Melamed & Yusen Xia, 2014. "Production-Inventory Systems with Lost Sales and Compound Poisson Demands," Operations Research, INFORMS, vol. 62(5), pages 1048-1063, October.
  62. Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W., 2000. "Discounted probabilities and ruin theory in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 239-250, May.
  63. Yang, Hailiang, 2003. "Ruin theory in a financial corporation model with credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 135-145, August.
  64. Wang, Wenyuan & Ming, Ruixing & Hu, Yijun, 2011. "On the expected discounted penalty function for risk process with tax," Statistics & Probability Letters, Elsevier, vol. 81(4), pages 489-501, April.
  65. Brill, Percy H., 2015. "Note on the service time in an M/G/1 queue with bounded workload," Statistics & Probability Letters, Elsevier, vol. 96(C), pages 162-169.
  66. Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev, 2019. "Ruin and Deficit Under Claim Arrivals with the Order Statistics Property," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 511-530, June.
  67. Tan, Jiyang & Yang, Xiangqun, 2006. "The compound binomial model with randomized decisions on paying dividends," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 1-18, August.
  68. Brill, Percy H. & Yu, Kaiqi, 2011. "Analysis of risk models using a level crossing technique," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 298-309.
  69. 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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