On the distribution of surplus immediately after ruin under interest force (Q5956048)

From MaRDI portal
scientific article; zbMATH DE number 1708396
Language Label Description Also known as
English
On the distribution of surplus immediately after ruin under interest force
scientific article; zbMATH DE number 1708396

    Statements

    On the distribution of surplus immediately after ruin under interest force (English)
    0 references
    0 references
    0 references
    17 June 2003
    0 references
    A compound Poisson model is considrered \(dU_\delta(t)= pdt+ U_\delta(t) \delta dt-dX(t)\). Here \(U_\delta(t)\) is the value of the reserve at time \(t\), \(p\) is the premium rate that the insurance company receives, \(\delta\) is the interest force, and \(X(t)= \sum^{N(t)}_{j=1} Y_j\), where \(N(t)\) is a homogeneous Poisson process counting the number of claims in the time interval \((0,t]\), and \(Y_j\) is the amount of the \(j\)th claim. Using the techniques of \textit{B. Sundt} and \textit{J. L. Tengels} [Isur. Math. Econ. 16, 7-22 (1995; Zbl 0838.62098)], the equations are obtained for the probability of ruin \(G_\delta (u,y)\) beginning with initial reserve \(u\) and the deficit at most \(y> 0\) immediately after the claim causing ruin. The bounds for \(G_\delta (0,y)\) are derived. In the case \(\delta=0\), the asymptotic result for \(G_\delta (u,y)\), as \(u\to +\infty\), is obtained, which generalizes the result in \textit{J. Grandell} [Aspects of Risk Theory. Springer, Berlin (1991; Zbl 0717.62100)] to the case where the severity of ruin is taken into account.
    0 references
    severity of ruin
    0 references
    compound Poisson model
    0 references
    interest force
    0 references
    integral equations
    0 references

    Identifiers