Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
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Publication:5430135
DOI10.1080/07362990701568213zbMath1295.91056OpenAlexW2170800596MaRDI QIDQ5430135
Publication date: 12 December 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990701568213
strong Markov propertyinterestcompound Poisson risk processfirst-hitting timetotal duration of negative surplusrenewal measure
Related Items
Total duration of negative surplus for the dual model, The perturbed compound Poisson risk process with investment and debit interest
Cites Work
- When does the surplus reach a given target?
- Occupation measure and local time of classical risk processes
- On a joint distribution for the risk process with constant interest force
- On some measures of the severity of ruin in the classical Poisson model
- On the expected discounted penalty function at ruin of a surplus process with interest.
- Ruin estimates under interest force
- How long is the surplus below zero?
- On occupation times for a risk process with reserve-dependent premium
- Martingales and insurance risk
- Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
- On the distribution of surplus immediately after ruin under interest force