How long is the surplus below zero?
From MaRDI portal
compound geometric distributioncompound Poisson continuous-time surplus processdistributions of time of ruinexponential distributionsfirst negative surplusgamma distributionsGerber modelindividual claim amount distributionsmartingale methodmoment generating functionprobability of ruinseverity of ruintotal duration of negative surpluszero initial surplus
For the classical compound Poisson continuous-time surplus process the following evaluations are considered: duration of the first negative surplus, duration of any other negative surplus, total duration of negative surplus. The author develops the Gerber model [\textit{H. U. Gerber}, Insur. Math. Econ. 9, No. 2/3, 115-119 (1990; Zbl 0731.62153)], using his martingale method. The symmetry between the distributions of time of ruin and duration of a negative surplus is discussed for the zero initial surplus. Finally, the author presents two examples, considering exponential and gamma \((2,\beta)\) distributions.
Recommendations
- On the distribution of the duration of negative surplus
- Duration of negative surplus for compound Poisson risk model with constant interest force
- Total duration of negative surplus for the dual model
- Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
- The analysis of the duration of negative surplus for a perturbed risk model
Cites work
- scientific article; zbMATH DE number 4032883 (Why is no real title available?)
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- Mathematical fun with ruin theory
- On the distribution of the surplus prior to ruin
- The surpluses immediately before and at ruin, and the amount of the claim causing ruin
- When does the surplus reach a given target?
Cited in
(59)- 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
- Exact and approximate properties of the distribution of surplus before and after ruin
- On some measures of the severity of ruin in the classical Poisson model
- The effect of interest on negative surplus
- How many claims does it take to get ruined and recovered?
- Time in the red in a two state Markov model.
- The joint density function of three characteristics on jump-diffusion risk process.
- On the distribution of cumulative Parisian ruin
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
- On the dual risk model with Parisian implementation delays in dividend payments
- The Omega model: from bankruptcy to occupation times in the red
- The maximum severity of ruin in a perturbed risk process with Markovian arrivals
- Moments of deficit duration and its proportion in general compound binomial model
- Some expressions of a generalized version of the expected time in the red and the expected area in red
- Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
- Occupation times in the MAP risk model
- An occupation time related potential measure for diffusion processes
- On the occupation times in a delayed Sparre Andersen risk model with exponential claims
- Total duration of negative surplus for a Brownian motion risk model with interest
- The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
- When does surplus reach a certain level before ruin?
- Passage times for a spectrally negative Lévy process with applications to risk theory
- Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
- On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
- Optimal life-insurance selection and purchase within a market of several life-insurance providers
- A unifying approach to the analysis of business with random gains
- On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
- On a Classical Risk Model with a Constant Dividend Barrier
- Duration of negative surplus for compound Poisson risk model with constant interest force
- On occupation times for a risk process with reserve-dependent premium
- Number of jumps in two-sided first-exit problems for a compound Poisson process
- Total duration of negative surplus for the dual model
- The finite-time ruin probability under the compound binomial risk model
- Ruin problems for an autoregressive risk model with dependent rates of interest
- On the distribution of the duration of negative surplus
- Upper bounds on the expected time to ruin and on the expected recovery time
- The time of recovery and the maximum severity of ruin in a Sparre Andersen model
- Strategies for dividend distribution: a review
- Exact solutions of some exit times for the diffusion risk model with liquid reserves, credit and debit interest
- Minimizing the discounted probability of exponential Parisian ruin via reinsurance
- Total duration of negative surplus for an MAP risk model
- The joint Laplace transforms for diffusion occupation times
- Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Differentiation of some functionals of risk processes, and optimal reserve allocation
- On the Time Value of Ruin
- On the moments of ruin and recovery times
- A risk model for Forest fires based on asymptotic results for multivariate collective models. Single models and structured families of models
- On the area in the red of Lévy risk processes and related quantities
- On a class of stochastic models with two-sided jumps
- Moments of polynomial functionals of spectrally positive Lévy processes
- On the longest/shortest negative excursion of a Lévy risk process and related quantities
- Occupation times of spectrally negative Lévy processes with applications
- Properties of a risk measure derived from the expected area in red
- On occupation times in the red of Lévy risk models
- Occupation measure and local time of classical risk processes
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
This page was built for publication: How long is the surplus below zero?
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2366049)
