On the Distribution of the Deficit at Ruin when Claims are Phase-type

By Steve Drekic, David C. M. Dickson *, David A. Stanford †, Gordon E. Willmot ‡. 2004

54 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/fc87109fe83d6897ce8c61e36387df566a7e8a41

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Guy Latouche
2. Andrei L. Badescu
3. Lothar Breuer

In Finance

1. Andrei L. Badescu
2. Lothar Breuer

In Management Science and Operations Research

1. Lothar Breuer
2. David A. Stanford †
3. Ana Caroline da Silva Soares
4. Marie-Ange Remiche
5. Guy Latouche
6. Andrei L. Badescu

Citations in the corpus

• Risk processes analyzed as fluid queues (2005, result): “Drekic [20] obtain a result similar to Corollary 4.”
• FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES (2013, unknown): “The ruin probability is then well-known to be ψruin,pt(x) = −λcαT−1 · e(T−λ/c tαT −1)x1 with 1 = (1, . . . , 1)′ and t = −T1 (cf. e.g. Asmussen and Albrecher, 2010, page 264), and the deficit-at-ruin −D is again phase-type distributed with parameters ( αT−1e(T−λ/c tαT−1)x αT−1e(T−λ/c tαT−1)x1 ,T ) (”