On occupation times for a risk process with reserve-dependent premium

DOI10.1081/STM-120004466zbMath1019.91027MaRDI QIDQ3147437

S. N. Chiu, Chuan-Cun Yin

Publication date: 12 November 2002

Published in: Stochastic Models (Search for Journal in Brave)

zbMATH Keywords

ruinLaplace transformoccupation timepiecewise deterministic Markov processrisk reserve processnegative surplusexponential claim

Mathematics Subject Classification ID

Related Items (7)

Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest ⋮ Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time ⋮ Total duration of negative surplus for a Brownian motion risk model with interest ⋮ Total duration of negative surplus for an MAP risk model ⋮ Total Duration of Negative Surplus for the Risk Process with Constant Interest Force ⋮ Total duration of negative surplus for the risk model with debit interest ⋮ Occupation measure and local time of classical risk processes

Cites Work

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• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• On the distribution of the surplus of the D-E model prior to and at ruin
• The effect of interest on negative surplus
• Ruin estimates under interest force
• How long is the surplus below zero?
• Martingales and insurance risk
• Ruin probabilities in the presence of heavy-tails and interest rates
• Ruin estimation for a general insurance risk model
• On the distribution of the duration of negative surplus

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