Exact and approximate properties of the distribution of surplus before and after ruin
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Publication:1276462
DOI10.1016/S0167-6687(98)00030-4zbMath0914.90074OpenAlexW1997675080MaRDI QIDQ1276462
Gordon E. Willmot, X. Sheldon Lin
Publication date: 27 January 1999
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00030-4
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Related Items (24)
On the distribution of surplus immediately before ruin under interest force ⋮ On the discounted distribution functions for the Erlang(2) risk process ⋮ On a risk measure inspired from the ruin probability and the expected deficit at ruin ⋮ Complete discounted cash flow valuation ⋮ Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach ⋮ Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims ⋮ On the discounted distribution functions of the surplus process perturbed by diffusion. ⋮ A generalized defective renewal equation for the surplus process perturbed by diffusion. ⋮ Compound geometric residual lifetime distributions and the deficit at ruin. ⋮ On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models. ⋮ RATIO MONOTONICITY FOR TAIL PROBABILITIES IN THE RENEWAL RISK MODEL ⋮ Ruin Problems for Phase-Type(2) Risk Processes ⋮ Bounds for the probability and severity of ruin in the Sparre Andersen model ⋮ Über die Verteilung des Überschusses vor und zum Zeitpunkt des Ruins in Semi-Markov-Risikomodellen;On the distribution of the surplus prior to ruin and at ruin in a discrete semi-markov risk model ⋮ On the distribution of surplus immediately after ruin under interest force ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications ⋮ Monotonicity properties and the deficit at ruin in the Sparre Andersen model ⋮ A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model ⋮ Pricing perpetual American catastrophe put options: A penalty function approach ⋮ Some results on the joint distribution prior to and at the time of ruin in the classical model ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
Cites Work
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- DFR property of first-passage times and its preservation under geometric compounding
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- On a class of approximations for ruin and waiting time probabilities
- Ruin problems and dual events
- How long is the surplus below zero?
- Preservation of certain classes of life distributions under Poisson shock models
- On the distribution of the duration of negative surplus
- Approximate solutions of severity of ruins
- On the moments of ruin and recovery times
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