Total duration of negative surplus for the risk model with debit interest

DOI10.1016/J.SPL.2009.02.005zbMath1165.91417OpenAlexW1987448403MaRDI QIDQ1021771

Rong Wu, Hua-Yue Zhang, Jing-Min He

Publication date: 9 June 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.02.005

Mathematics Subject Classification ID

Related Items (5)

On the time and the number of claims when the surplus drops below a certain level ⋮ Total duration of negative surplus for a Brownian motion risk model with interest ⋮ On the time value of absolute ruin with tax ⋮ Total duration of negative surplus for an MAP risk model ⋮ Moments of deficit duration and its proportion in general compound binomial model

Cites Work

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• How long is the surplus below zero?
• On hitting times for compound Poisson dams with exponential jumps and linear release rate
• On occupation times for a risk process with reserve-dependent premium
• Ruin estimation for a general insurance risk model
• On the distribution of the duration of negative surplus
• Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
• On the Time Value of Ruin

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