On the distribution of surplus immediately before ruin under interest force

DOI10.1016/S0167-7152(01)00163-8zbMath0998.62094OpenAlexW4246706471MaRDI QIDQ1612939

Hailiang Yang, Lihong Zhang

Publication date: 5 September 2002

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

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00163-8

zbMATH Keywords

Laplace transformLundberg boundsurplus immediately before ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Qualitative behavior of solutions to integral equations (45M99)

Related Items

The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function, On the ruin probabilities for a general perturbed renewal risk process, Some Ruin Problems for a Risk Process with Stochastic Interest, On the distribution of surplus immediately after ruin under interest force and subexponential claims

Cites Work

• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Aspects of risk theory
• On the distribution of the surplus prior to ruin
• Exact and approximate properties of the distribution of surplus before and after ruin
• Ruin estimates under interest force
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• On the distribution of surplus immediately after ruin under interest force