On the distribution of surplus immediately after ruin under interest force

DOI10.1016/S0167-6687(01)00085-3zbMath1012.91027OpenAlexW2077198056MaRDI QIDQ5956048

Lihong Zhang, Hailiang Yang

Publication date: 17 June 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00085-3

zbMATH Keywords

integral equationscompound Poisson modelinterest forceseverity of ruin

Mathematics Subject Classification ID

Related Items (11)

On the distribution of surplus immediately before ruin under interest force ⋮ The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function ⋮ The deficit at ruin in the Sparre Andersen model with interest ⋮ On the ruin probabilities for a general perturbed renewal risk process ⋮ 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 ⋮ On the distribution of surplus immediately after ruin under interest force and subexponential claims ⋮ Total Duration of Negative Surplus for the Risk Process with Constant Interest Force ⋮ Dividend payments in the classical risk model under absolute ruin with debit interest ⋮ On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest ⋮ On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals

Cites Work

• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Aspects of risk theory
• Ruin theory with compounding assets -- a survey
• Exact and approximate properties of the distribution of surplus before and after ruin
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Ruin estimates under interest force
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• Ruin theory with stochastic return on investments
• Approximate solutions of severity of ruins
• On the Time Value of Ruin

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