On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin

DOI10.1080/034612300750066737zbMath0958.91029MaRDI QIDQ2703236

Gordon E. Willmot

Publication date: 1 March 2001

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

Full work available at URL: https://doi.org/10.1080/034612300750066737

zbMATH Keywords

duration of negative surplus; combinations of exponentials; Erlangs mixture; residual equilibrium distribution

Mathematics Subject Classification ID

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

60E05: Probability distributions: general theory

Related Items

On the Class of Erlang Mixtures with Risk Theoretic Applications, Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model, On the Distribution of the Deficit at Ruin when Claims are Phase-type, On the discounted penalty function in the renewal risk model with general interclaim times, Compound geometric residual lifetime distributions and the deficit at ruin., How many claims does it take to get ruined and recovered?, Finite time ruin probabilities with one Laplace inversion., The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cites Work

• Unnamed Item
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• On a class of approximations for ruin and waiting time probabilities
• Exact and approximate properties of the distribution of surplus before and after ruin
• How long is the surplus below zero?
• Convolution of uniform distributions and ruin probability