The time to ruin and the number of claims until ruin for phase-type claims
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference23 articles.
1. On the analysis of the Gerber–Shiu discounted penalty function for risk processes with Markovian arrivals;Ahn;Insurance: Mathematics and Economics,2007
2. Ruin Probabilities;Asmussen,2000
3. Computational methods in risk theory: a matrix–algorithmic approach;Asmussen;Insurance: Mathematics and Economics,1991
4. Risk processes analyzed as fluid queues;Badescu;Scandinavian Actuarial Journal,2005
5. On the ruin time for a Sparre Andersen process with exponential claim sizes;Borovkov;Insurance: Mathematics and Economics,2008
Cited by 17 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Gerber-Shiu theory for discrete risk processes in a regime switching environment;Applied Mathematics and Computation;2024-04
2. Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims;Insurance: Mathematics and Economics;2023-07
3. On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model;Scandinavian Actuarial Journal;2023-05-10
4. The Gerber-Shiu discounted penalty function: A review from practical perspectives;Insurance: Mathematics and Economics;2023-03
5. Moments of the Ruin Time in a Lévy Risk Model;Methodology and Computing in Applied Probability;2022-07-30
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