Ruin problems and dual events

DOI10.1016/0167-6687(94)00005-0zbMath0803.62091OpenAlexW2070427918MaRDI QIDQ1329415

David C. M. Dickson, Alfredo D. Egídio dos Reis

Publication date: 22 August 1994

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00005-0

zbMATH Keywords

severity of ruinjoint densityprobability of ruindual eventssurplus immediately prior to ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin ⋮ Ruin problems for a discrete time risk model with random interest rate ⋮ On the discounted distribution functions of the surplus process perturbed by diffusion. ⋮ The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion. ⋮ Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model ⋮ The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force ⋮ On the Time Value of Ruin ⋮ Ruin Probability for the Integrated Gaussian Process with Force of Interest ⋮ Exact and approximate properties of the distribution of surplus before and after ruin

Cites Work

• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• Approximations to ruin probability in the presence of an upper absorbing barrier
• Unnamed Item

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