The Time Value of Ruin in a Sparre Andersen Model
By H. Asa, Elias S. W. Shiu Asa. 2005
266 citations recorded by the source corpus.
Subfields: Demography, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/98a081d8b40fde1ace3677fd00c48d315bd88c17
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Hansjörg Albrecher *
- Shuanming Li
- Eric C. K. Cheung
- Stefan Thonhauser
- Yi Lu
- Ronnie Loeffen
- Xiaowen Zhou
- Hailiang Yang
In Management Science and Operations Research
- Shuanming Li
- Eric C. K. Cheung
- Hansjörg Albrecher *
- Yi Lu
- Stefan Thonhauser
- Ronnie Loeffen
- Xiaowen Zhou
- Hailiang Yang
In Statistics and Probability
- Shuanming Li
- Yi Lu
- Eric C. K. Cheung
- Stefan Thonhauser
- Hansjörg Albrecher *
- Kristina P. Pavlova
- Gordon E. Willmot
Citations in the corpus
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2013, methodology): “Section 2 studies Gerber Shiu functions for which the penalty function only depends on the deficit at ruin (i.e. w(x1, x2) w2(x2)).”
- The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model (2008, result): “As for the divided differences of a function (Gerber and Shiu (2005)), we have the following formula for the (k – 1)-th divided difference B [r1, r2, …, rk ] = j j . r B !, ii i j k j k 11 - = = r r % !”
- On the discounted penalty function in a Markov-dependent risk model (2005, unknown): “However, in view of applications, (2) seems more appealing.”