IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v22y1998i3p251-262.html
   My bibliography  Save this article

Ruin probabilities for Erlang(2) risk processes

Author

Listed:
  • Dickson, David C. M.
  • Hipp, Christian

Abstract

No abstract is available for this item.

Suggested Citation

  • Dickson, David C. M. & Hipp, Christian, 1998. "Ruin probabilities for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 251-262, July.
    • Handle: RePEc:eee:insuma:v:22:y:1998:i:3:p:251-262
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(98)00003-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dickson, David C.M. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 1995. "Some Stable Algorithms in Ruin Theory and Their Applications," ASTIN Bulletin, Cambridge University Press, vol. 25(2), pages 153-175, November.
    2. Dufresne, François & Gerber, Hans U., 1989. "Three Methods to Calculate the Probability of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 19(1), pages 71-90, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005. "On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 324-334, October.
    3. 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.
    4. Corina D. Constantinescu & Jorge M. Ramirez & Wei R. Zhu, 2019. "An application of fractional differential equations to risk theory," Finance and Stochastics, Springer, vol. 23(4), pages 1001-1024, October.
    5. Willmot, Gordon E., 2002. "Compound geometric residual lifetime distributions and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 421-438, June.
    6. 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.
    7. Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2002. "On a correlated aggregate claims model with Poisson and Erlang risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 205-214, October.
    8. Li, Shuanming & Garrido, Jose, 2004. "On a class of renewal risk models with a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 691-701, December.
    9. Huang, Tao & Zhao, Ruiqing & Tang, Wansheng, 2009. "Risk model with fuzzy random individual claim amount," European Journal of Operational Research, Elsevier, vol. 192(3), pages 879-890, February.
    10. Krzysztof Burnecki & Zbigniew Palmowski & Marek Teuerle & Aleksandra Wilkowska, 2023. "Ruin probability for the quota share model with~phase-type distributed claims," Papers 2303.07705, arXiv.org.
    11. Dickson, David C. M. & Hipp, Christian, 2001. "On the time to ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 333-344, December.
    12. Jacobsen, Martin, 2003. "Martingales and the distribution of the time to ruin," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 29-51, September.
    13. Li, Shuanming & Dickson, David C.M., 2006. "The maximum surplus before ruin in an Erlang(n) risk process and related problems," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 529-539, June.
    14. 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.
    15. Sun, Lijuan & Yang, Hailiang, 2004. "On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 121-125, February.
    16. Yao, Kai & Qin, Zhongfeng, 2015. "A modified insurance risk process with uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 227-233.
    17. Li, Shuanming & Lu, Yi, 2005. "On the expected discounted penalty functions for two classes of risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 179-193, April.
    18. Ambagaspitiya, Rohana S., 2003. "Aggregate survival probability of a portfolio with dependent subportfolios," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 431-443, July.
    19. Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D., 2009. "Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 470-484, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dickson, David C. M. & Waters, Howard R., 1999. "Ruin probabilities with compounding assets," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 49-62, September.
    2. 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.
    3. 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.
    4. Claude Lefèvre & Stéphane Loisel & Muhsin Tamturk & Sergey Utev, 2018. "A Quantum-Type Approach to Non-Life Insurance Risk Modelling," Risks, MDPI, vol. 6(3), pages 1-17, September.
    5. Gatto, Riccardo, 2008. "A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1948-1954, September.
    6. Dickson, David C. M. & Egidio dos Reis, Alfredo D., 1997. "The effect of interest on negative surplus," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 1-16, October.
    7. Marceau, Etienne & Rioux, Jacques, 2001. "On robustness in risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 167-185, October.
    8. Cai, Jun & Dickson, David C. M., 2003. "Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 61-71, February.
    9. Ramsay, Colin M., 2003. "A solution to the ruin problem for Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 109-116, August.
    10. Yacine Koucha & Alfredo D. Egidio dos Reis, 2021. "Approximations to ultimate ruin probabilities with a Wienner process perturbation," Papers 2107.02537, arXiv.org.
    11. Sung Soo Kim & Steve Drekic, 2016. "Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends," Risks, MDPI, vol. 4(1), pages 1-15, February.
    12. Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2013. "Valuing equity-linked death benefits in jump diffusion models," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 615-623.
    13. Egidio dos Reis, Alfredo D., 2000. "On the moments of ruin and recovery times," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 331-343, December.
    14. Hyunjoo Yoo & Bara Kim & Jeongsim Kim & Jiwook Jang, 2020. "Transform approach for discounted aggregate claims in a risk model with descendant claims," Annals of Operations Research, Springer, vol. 293(1), pages 175-192, October.
    15. Thampi K. K. & Jacob M. J. & Raju N., 2007. "Ruin Probabilities under Generalized Exponential Distribution," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(1), pages 1-12, May.
    16. 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.
    17. Cossette, Helene & Landriault, David & Marceau, Etienne, 2004. "Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 449-466, June.
    18. 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.
    19. Dickson, David C. M. & Waters, Howard R., 1996. "Reinsurance and ruin," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 61-80, December.
    20. Willmot, Gordon E. & Sheldon Lin, X., 1998. "Exact and approximate properties of the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 91-110, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:22:y:1998:i:3:p:251-262. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.