New research directions in modern actuarial sciences

E Bulinskaya - Modern Problems of Stochastic Analysis and Statistics …, 2017 - Springer
The aim of the paper is to outline the new trends in modern actuarial sciences in order to
help the researchers to find new domains of activity and university professors teaching future …

[图书][B] Surplus analysis of Sparre Andersen insurance risk processes

GE Willmot, JK Woo - 2017 - Springer
This monograph is a summary of our view of the current state of the art with respect to the
analysis of surplus and ruin-theoretic analysis for the class of Sparre Andersen (renewal) …

The expected discounted penalty function: From infinite time to finite time

S Li, Y Lu, KP Sendova - Scandinavian Actuarial Journal, 2019 - Taylor & Francis
In this paper we study the finite-time expected discounted penalty function (EDPF) and its
decomposition in the classical risk model perturbed by diffusion. We first give the solution to …

Approximating the density of the time to ruin via Fourier-cosine series expansion

Z Zhang - ASTIN Bulletin: The Journal of the IAA, 2017 - cambridge.org
In this paper, the density of the time to ruin is studied in the context of the classical
compound Poisson risk model. Both one-dimensional and two-dimensional Fourier-cosine …

Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps

ECK Cheung, H Liu, GE Willmot - Applied Mathematics and Computation, 2018 - Elsevier
This paper considers a renewal insurance risk model with two-sided jumps (eg Labbé et al.,
2011), where downward and upward jumps typically represent claim amounts and random …

The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model

DCM Dickson - Insurance: Mathematics and Economics, 2012 - Elsevier
We use probabilistic arguments to derive an expression for the joint density of the time to
ruin and the number of claims until ruin in the classical risk model. From this we obtain a …

Some ruin problems for the MAP risk model

J Li, DCM Dickson, S Li - Insurance: Mathematics and Economics, 2015 - Elsevier
We consider ruin problems for a risk model with a Markovian arrival process (MAP). In
particular, we study (1) the density of the time of ruin under two different assumptions on the …

Gerber–Shiu analysis of a risk model with capital injections

DCM Dickson, M Qazvini - European Actuarial Journal, 2016 - Springer
We consider the risk model with capital injections studied by Nie et al.(Ann Actuar Sci 5: 195–
209, 2011; Scand Actuar J 2015: 301–318, 2015). We construct a Gerber–Shiu function and …

The time to ruin and the number of claims until ruin for phase-type claims

E Frostig, SM Pitts, K Politis - Insurance: Mathematics and Economics, 2012 - Elsevier
We consider a renewal risk model with phase-type claims, and obtain an explicit expression
for the joint transform of the time to ruin and the number of claims until ruin, with a penalty …

Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims

ECK Cheung, W Zhu - Insurance: Mathematics and Economics, 2023 - Elsevier
The Parisian ruin time, which is the first time the insurer's surplus process has an excursion
below level zero that exceeds a prescribed time length, has been extensively analyzed in …