Total duration of negative surplus for the dual model

DOI10.1002/asmb.733zbMath1199.91099OpenAlexW4239068482MaRDI QIDQ3552655

Min Song, Xin Zhang, Rong Wu

Publication date: 22 April 2010

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.733

zbMATH Keywords

ruin probabilitycompound Poisson risk processdual modelhitting probabilitytotal duration of negative surplus

Mathematics Subject Classification ID

Related Items (8)

SOME ADVANCES ON THE ERLANG(n) DUAL RISK MODEL ⋮ On dividends in the phase–type dual risk model ⋮ Parisian ruin in the dual model with applications to the \(G/M/1\) queue ⋮ Total duration of negative surplus for an MAP risk model ⋮ Dividend problems in the dual risk model ⋮ Parisian ruin with a threshold dividend strategy under the dual Lévy risk model ⋮ Moments of deficit duration and its proportion in general compound binomial model ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• Unnamed Item
• When does the surplus reach a given target?
• Optimal dividends in the dual model
• The effect of interest on negative surplus
• How long is the surplus below zero?
• Martingales and insurance risk
• On the distribution of the duration of negative surplus
• Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
• Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
• On the Time Value of Ruin

This page was built for publication: Total duration of negative surplus for the dual model