On the time and the number of claims when the surplus drops below a certain level

DOI10.1080/03461238.2014.954607zbMath1401.91165OpenAlexW1978689467MaRDI QIDQ4576976

Yi Lu, Shuanming Li

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.954607

zbMATH Keywords

continued fractionsspecial functionsruin probabilitygeneralized Gerber-Shiu functiontwo-sided first exit timeabsolute ruin probabilityrisk model with interest

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Related Items (3)

On the time and aggregate claim amount until the surplus drops below zero or reaches a safety level in a jump diffusion risk model ⋮ Number of claims and ruin time for a refracted risk process ⋮ On a spectrally negative Lévy risk process with periodic dividends and capital injections

Cites Work

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• Martingales and insurance risk
• Ruin estimation for a general insurance risk model
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• On the Time Value of Ruin

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