On a joint distribution for the risk process with constant interest force

DOI10.1016/J.INSMATHECO.2005.03.001zbMath1110.62149OpenAlexW1979531604MaRDI QIDQ882861

Rong Wu, Chun-sheng Zhang, Guo-jing Wang

Publication date: 24 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.03.001

zbMATH Keywords

Laplace transformDeficit at ruinInterestSurplus immediately before ruinTime of ruinTransition density function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (10)

Recovery process model ⋮ On the renewal risk process with stochastic interest ⋮ The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Some Ruin Problems for a Risk Process with Stochastic Interest ⋮ Ruin problems with stochastic premium stochastic return on investments ⋮ 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 ⋮ Risk Processes with Interest Force in Markovian Environment ⋮ On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest

Cites Work

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• Classical risk theory in an economic environment
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• The adjustment function in ruin estimates under interest force
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Joint distributions of some actuarial random vectors containing the time of ruin
• Ruin estimates under interest force
• Ruin probabilities and penalty functions with stochastic rates of interest
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• On the Time Value of Ruin
• Stochastic differential equations. An introduction with applications.

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