On the expected discounted penalty function at ruin of a surplus process with interest.

DOI10.1016/S0167-6687(02)00120-8zbMath1074.91027OpenAlexW1976822036MaRDI QIDQ1413325

David C. M. Dickson, Jun Cai

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00120-8

zbMATH Keywords

Laplace transformVolterra equationdeficit at ruinsurplus prior to ruinruin penalty function

Mathematics Subject Classification ID

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Cites Work

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• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Ruin estimates under interest force
• Analysis of a defective renewal equation arising in ruin theory
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• On the Time Value of Ruin
• On the distribution of surplus immediately after ruin under interest force

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