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

DOI10.1080/034612300750066737zbMath0958.91029OpenAlexW2001030351MaRDI 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 surpluscombinations of exponentialsErlangs mixtureresidual equilibrium distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability distributions: general theory (60E05)

Related Items (8)

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. ⋮ 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 ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin ⋮ On the Class of Erlang Mixtures with Risk Theoretic Applications ⋮ Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model

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

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