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Scandinavian Actuarial Journal Volume 2019, 2019 - Issue 1
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Articles

Parisian types of ruin probabilities for a class of dependent risk-reserve processes

Mogens BladtDepartment of Mathematical Sciences, University of Copenhagen, Copenhagen, DenmarkCorrespondence[email protected]
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,
Bo Friis NielsenDTU COMPUTE, Department of Applied Mathematics and Computer Science, Technical University of Denmark, Lyngby, DenmarkView further author information
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Oscar PeraltaDTU COMPUTE, Department of Applied Mathematics and Computer Science, Technical University of Denmark, Lyngby, DenmarkView further author information
Pages 32-61 | Received 03 Apr 2018, Accepted 27 May 2018, Published online: 29 Jun 2018

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Mohamed Amine Lkabous. (2021) Poissonian occupation times of spectrally negative Lévy processes with applications. Scandinavian Actuarial Journal 2021:10, pages 916-935.
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Articles from other publishers (7)

Oscar Peralta & Matthieu Simon. (2023) Ruin Problems for Risk Processes with Dependent Phase-Type Claims. Methodology and Computing in Applied Probability 25:4.
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Eric C.K. Cheung & Wei Zhu. (2023) Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims. Insurance: Mathematics and Economics 111, pages 84-101.
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Eric C. K. Cheung & Jeff T. Y. Wong. (2023) A Note on a Modified Parisian Ruin Concept. Risks 11:3, pages 56.
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Eric C.K. Cheung, Oscar Peralta & Jae-Kyung Woo. (2022) Multivariate matrix-exponential affine mixtures and their applications in risk theory. Insurance: Mathematics and Economics 106, pages 364-389.
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Søren Asmussen & Mogens Bladt. (2022) Moments and polynomial expansions in discrete matrix-analytic models. Stochastic Processes and their Applications 150, pages 1165-1188.
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Bo Friis Nielsen. (2022) Characterisation of multivariate phase type distributions. Queueing Systems 100:3-4, pages 229-231.
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Hansjörg Albrecher, Mogens Bladt & Jorge Yslas. (2020) Fitting inhomogeneous phase‐type distributions to data: the univariate and the multivariate case. Scandinavian Journal of Statistics 49:1, pages 44-77.
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