The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force

DOI10.1080/10920277.2001.10596001zbMath1083.62547OpenAlexW2072213391MaRDI QIDQ5718222

Hailiang Yang, Lihong Zhang

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2001.10596001

Mathematics Subject Classification ID

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

Related Items (10)

The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function ⋮ On a joint distribution for the risk process with constant interest force ⋮ On the expected discounted penalty function at ruin of a surplus process with interest. ⋮ On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs ⋮ Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model ⋮ RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR ⋮ Further results for the joint distribution of the surplus immediately before and after ruin under force of interest ⋮ Extended Gerber-Shiu functions in a risk model with interest ⋮ Affine Storage and Insurance Risk Models ⋮ Approximations for moments of deficit at ruin with exponential and subexponential claims.

Cites Work

• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• Ruin problems and dual events
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Ruin under interest force and subexponential claims: a simple treatment.
• Ruin estimates under interest force
• On the Distribution of the Surplus Prior and at Ruin

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