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The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
9 references·0 citing·24 second hop
The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims (2005)The density of the time to ruin for a Spa…The Time Value of Ruin in a Sparre Andersen Model (2005)The Time Value of Ruin in a S…The Density of the Time to Ruin in the Classical Poisson Risk Model (2005)The Density of the Time to Ru…On ruin for the Erlang(n) risk process (2004)On ruin for the Erlang(n) ris…On the Density and Moments of the Time of Ruin with Exponential Claims (2003)On the Density and Moments of…The Distribution of the time to Ruin in the Classical Risk Model (2002)The Distribution of the time …On the time to ruin for Erlang(2) risk processes (2001)On the time to ruin for Erlan…On the Time Value of Ruin (1998)On the Time Value of RuinAspects of Risk Theory (1991)Aspects of Risk TheoryWhen does ruin occur in the collective theory of risk? (1955)When does ruin occur in the c…Über einige risikotheoretische Fragestellungen (1942)Ruin probabilities expressed in terms of ladder height distributions (1974)A Determination of the Risk of Ruin (1979)Stochastic Processes in Queueing Theory (1976)The compound Poisson risk model with a threshold dividend strategy (2005)On a risk model with dependence between interclaim arrivals and claim sizes (2006)An introduction to mathematical risk theory (1979)Option pricing by Esscher transforms. (1995)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Loss Models: From Data to Decisions (1999)Ruin Probabilities (2000)Risk modelling with the mixed Erlang distribution (2010)A Two-Dimensional Risk Model with Proportional Reinsurance (2011)Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions (2011)The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (2000)Lundberg Approximations for Compound Distributions with Insurance Applications (2001)Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models (2005)On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model (2009)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)The classical risk model with a constant dividend barrier: analysis of the Gerber–Shiu discounted penalty function (2003)On Optimal Dividend Strategies In The Compound Poisson Model (2006)
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References

  • 1991Aspects of Risk Theory902 cited
  • 1998On the Time Value of Ruin786 cited
  • 2001On the time to ruin for Erlang(2) risk processes260 cited
  • 2004On ruin for the Erlang(n) risk process252 cited
  • 2005The Time Value of Ruin in a Sparre Andersen Model241 cited
  • 2005The Density of the Time to Ruin in the Classical Poisson Risk Model94 cited
  • 2003On the Density and Moments of the Time of Ruin with Exponential Claims56 cited
  • 1955When does ruin occur in the collective theory of risk?49 cited
  • 2002The Distribution of the time to Ruin in the Classical Risk Model33 cited

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