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On the first time of ruin in the bivariate compound Poisson model

Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan - In: Insurance: Mathematics and Economics 38 (2006) 2, pp. 298-308

Persistent link: https://www.econbiz.de/10005365521

A discrete-time risk model with interaction between classes of business

Wu, Xueyuan; Yuen, Kam C. - In: Insurance: Mathematics and Economics 33 (2003) 1, pp. 117-133

Persistent link: https://www.econbiz.de/10005374645

Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan - In: Insurance: Mathematics and Economics 31 (2002) 2, pp. 205-214

Persistent link: https://www.econbiz.de/10005375256

On the probability of ruin in a Markov-modulated risk model

Lu, Yi; Li, Shuanming - In: Insurance: Mathematics and Economics 37 (2005) 3, pp. 522-532

Persistent link: https://www.econbiz.de/10005374758

On ruin for the Erlang(n) risk process

Li, Shuanming; Garrido, Jose - In: Insurance: Mathematics and Economics 34 (2004) 3, pp. 391-408

Persistent link: https://www.econbiz.de/10005374762

The maximum surplus before ruin in an Erlang(n) risk process and related problems

Li, Shuanming; Dickson, David C.M. - In: Insurance: Mathematics and Economics 38 (2006) 3, pp. 529-539

Persistent link: https://www.econbiz.de/10005374803

On the expected discounted penalty functions for two classes of risk processes

Li, Shuanming; Lu, Yi - In: Insurance: Mathematics and Economics 36 (2005) 2, pp. 179-193

Persistent link: https://www.econbiz.de/10005375147

On a class of renewal risk models with a constant dividend barrier

Li, Shuanming; Garrido, Jose - In: Insurance: Mathematics and Economics 35 (2004) 3, pp. 691-701

Persistent link: https://www.econbiz.de/10005375300

Finite time ruin problems for the Erlang(2) risk model

Dickson, David C.M.; Li, Shuanming - In: Insurance: Mathematics and Economics 46 (2010) 1, pp. 12-18

We consider the Erlang(2) risk model and derive expressions for the density of the time to ruin and the joint density of the time to ruin and the deficit at ruin when the individual claim amount distribution is (i) an exponential distribution and (ii) an Erlang(2) distribution. We also consider...

Persistent link: https://www.econbiz.de/10008507375

The Markovian regime-switching risk model with a threshold dividend strategy

Lu, Yi; Li, Shuanming - In: Insurance: Mathematics and Economics 44 (2009) 2, pp. 296-303

In this paper, we study a regime-switching risk model with a threshold dividend strategy, in which the rate for the Poisson claim arrivals and the distribution of the claim amounts are driven by an underlying (external) Markov jump process. The purpose of this paper is to study the unified...

Persistent link: https://www.econbiz.de/10004973677