On some measures of the severity of ruin in the classical Poisson model

DOI10.1016/0167-6687(94)00006-9zbMath0813.62093MaRDI QIDQ1333587

Philippe Picard

Publication date: 15 September 1994

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

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00006-9

zbMATH Keywords

martingales; Poisson model; duration of ruin; collective risk theory; cost of recovery; maximal severity of ruin; ruin of an insurance company

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Further developments in the Erlang(n) risk process, On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications, The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model, Strategies for Dividend Distribution: A Review, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, Total Duration of Negative Surplus for the Risk Process with Constant Interest Force, Differentiation of some functionals of risk processes, and optimal reserve allocation, Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier, Properties of a risk measure derived from the expected area in red, Occupation measure and local time of classical risk processes, Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation, Total duration of negative surplus for the risk model with debit interest, On the discounted penalty at ruin in a jump-diffusion and the perpetual put option, The effect of interest on negative surplus, Some characteristics of a surplus process in the presence of an upper barrier., The joint distributions of several important actuarial diagnostics in the classical risk model., Joint distributions of some actuarial random vectors containing the time of ruin, Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims, Distributional study of finite-time ruin related problems for the classical risk model, The maximum severity of ruin in a perturbed risk process with Markovian arrivals, Ruin probabilities with compounding assets, Total duration of negative surplus for a Brownian motion risk model with interest, On the generalized Gerber-Shiu function for surplus processes with interest, The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems, On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy, Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm

Cites Work

• Unnamed Item
• Unnamed Item
• On the distribution of the claim causing ruin
• When does the surplus reach a given target?
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• How long is the surplus below zero?
• Martingales and insurance risk