The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

DOI10.1016/S0167-6687(97)00027-9zbMath0894.90047OpenAlexW2081920616MaRDI QIDQ1381464

Elias S. W. Shiu, Hans U. Gerber

Publication date: 17 March 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00027-9

zbMATH Keywords

martingalesjoint distributiontime of ruincollective risk theoryDickson's formula

Mathematics Subject Classification ID

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Cites Work

• When does the surplus reach a given target?
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• Ruin problems and dual events
• On the Ruin Problem of Collective Risk Theory
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