On the distribution of the duration of negative surplus

DOI10.1080/03461238.1996.10413969zbMath0864.62069OpenAlexW2045401346MaRDI QIDQ4715564

Alfredo D. Egídio dos Reis, David C. M. Dickson

Publication date: 14 January 1997

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

Full work available at URL: https://doi.org/10.1080/03461238.1996.10413969

zbMATH Keywords

failure rateduration of negative surplusruin theoryseverity of ruindiscrete time risk modelrecursion formulasingle periodstotal duration

Mathematics Subject Classification ID

Related Items (25)

An occupation time related potential measure for diffusion processes ⋮ On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ Upper bounds on the expected time to ruin and on the expected recovery time ⋮ The finite time ruin probability in a risk model with capital injections ⋮ The effect of interest on negative surplus ⋮ Complete discounted cash flow valuation ⋮ Parisian ruin in the dual model with applications to the \(G/M/1\) queue ⋮ Total duration of negative surplus for a Brownian motion risk model with interest ⋮ The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model ⋮ The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ RATIO MONOTONICITY FOR TAIL PROBABILITIES IN THE RENEWAL RISK MODEL ⋮ Total duration of negative surplus for the dual model ⋮ On a Classical Risk Model with a Constant Dividend Barrier ⋮ Total duration of negative surplus for an MAP risk model ⋮ Occupation times in the MAP risk model ⋮ On the moments of ruin and recovery times ⋮ Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process ⋮ Monotonicity properties and the deficit at ruin in the Sparre Andersen model ⋮ Total duration of negative surplus for the risk model with debit interest ⋮ Exact and approximate properties of the distribution of surplus before and after ruin ⋮ Some results on the joint distribution prior to and at the time of ruin in the classical model ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin ⋮ On occupation times for a risk process with reserve-dependent premium ⋮ Occupation measure and local time of classical risk processes

Cites Work

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• Recursive calculation of finite-time ruin probabilities
• On the distribution of the surplus prior to ruin
• Recursive calculation of the probability and severity of ruin
• How long is the surplus below zero?
• Approximations to ruin probability in the presence of an upper absorbing barrier

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