How long is the surplus below zero?
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Publication:2366049
DOI10.1016/0167-6687(93)90996-3zbMath0777.62096OpenAlexW2072606241MaRDI QIDQ2366049
Publication date: 29 June 1993
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(93)90996-3
exponential distributionsmoment generating functionseverity of ruinmartingale methodgamma distributionsprobability of ruintotal duration of negative surpluscompound geometric distributioncompound Poisson continuous-time surplus processdistributions of time of ruinfirst negative surplusGerber modelindividual claim amount distributionszero initial surplus
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