Further results for the joint distribution of the surplus immediately before and after ruin under force of interest

DOI10.1080/15598608.2012.673895zbMath1425.62140OpenAlexW2015629575MaRDI QIDQ2320766

Kumer P. Das, W. Ted Mahavier

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2012.673895

zbMATH Keywords

ruin probabilityLaplace transformationcompound Poisson modelsurplus process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Laplace transform (44A10) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (1)

The Gerber-Shiu function for the compound Poisson Omega model with a three-step premium rate

Cites Work

• Unnamed Item
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• On the Gerber-Shiu discounted penalty function for subexponential claims
• Actuarial Mathematics for Life Contingent Risks
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• On the Time Value of Ruin

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