On the distribution of surplus immediately after ruin under interest force and subexponential claims

DOI10.1016/J.INSMATHECO.2004.07.002zbMATH Open1122.91347OpenAlexW1986340398MaRDI QIDQ2485537FDOQ2485537

Authors: Hailiang Yang, Hanxing Wang, Rongming Wang 

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.002

Recommendations

• On the distribution of surplus immediately before ruin under interest force
• On the distribution of surplus immediately after ruin under interest force
• On the Distribution of the Surplus Prior and at Ruin
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• The finite-time ruin probability of the compound Poisson model with constant interest force

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cites Work

• Title not available (Why is that?)
• Ruin probabilities in the presence of heavy-tails and interest rates
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
• Lundberg approximations for compound distributions with insurance applications
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Ruin under interest force and subexponential claims: a simple treatment.
• Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• The adjustment function in ruin estimates under interest force
• On the distribution of surplus immediately before ruin under interest force
• On the distribution of surplus immediately after ruin under interest force

Cited In (12)

• Ruin probabilities in a finite-horizon risk model with investment and reinsurance
• On the distribution of surplus immediately after ruin under interest force
• The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
• Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
• A compound Poisson risk model of a loss-sensitive insurance
• Joint distributions of some actuarial random vectors for the Cox risk model
• On the distribution of surplus immediately before ruin under interest force
• Risk model with fuzzy random individual claim amount
• Ruin problems with stochastic premium stochastic return on investments
• Inequalities on the ruin probability for light-tailed distributions with some restrictions
• Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
• On the time value of absolute ruin for a multi-layer compound Poisson model under interest force

This page was built for publication: On the distribution of surplus immediately after ruin under interest force and subexponential claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485537)