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The moments of the time of ruin in Sparre Andersen risk models

Dickson, David C. M. - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 63-82

Persistent link: https://www.econbiz.de/10014306859

Finite time ruin problems for the Markov-modulated risk model

Li, Jingchao; Dickson, David C. M.; Li, Shuanming - 2014

Persistent link: https://www.econbiz.de/10011342005

The density of the ruin time for a renewal-reward process perturbed by a diffusion

Blanchet-Scalliet, Christophette; Dorobantu, Diana; … - HAL - 2013

Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x

Persistent link: https://www.econbiz.de/10010899280

The density of the ruin time for a renewal-reward process perturbed by a diffusion

Blanchet-Scalliet, Christophette; Dorobantu, Diana; … - HAL - 2011

Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x

Persistent link: https://www.econbiz.de/10009322688

Dividend moments in the dual risk model: Exact and approximate approaches

Cheung, ECK; Drekic, S - 2008

of ruin. These integro-differential equations can be solved explicitly assuming the jump size distribution has a rational … difference between the expected value of discounted dividends and the present value of a fixed penalty applied at the time of … integro-differential equations for the moments of the total discounted dividends as well as the Laplace transform of the time …

Persistent link: https://www.econbiz.de/10009471377

The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

Yuen, KC; Wang, G; Li, WK - 2007

In this paper, we consider the classical surplus process with interest and a constant dividend barrier. Under constant interest, we derive an integro-differential equation for the Gerber-Shiu expected discounted penalty function. Following an idea of Lin, Willmot and Drekic [Lin, X.S., Willmot,...

Persistent link: https://www.econbiz.de/10009471485