The covariance between the surplus prior to and ruin in the classical risk model

DOI10.2143/AST.42.2.2182811zbMATH Open1277.91095OpenAlexW2276045184MaRDI QIDQ2866028FDOQ2866028

Authors: Georgios Psarrakos, Konstadinos G. Politis 

Publication date: 12 December 2013

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://econpapers.repec.org/article/cupastinb/v_3a42_3ay_3a2012_3ai_3a02_3ap_3a631-653_5f00.htm

Recommendations

• On the distribution of the surplus prior to ruin
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Some results on the joint distribution prior to and at the time of ruin in the classical model
• On the Distribution of the Surplus Prior and at Ruin
• Ruin functions for two-class of risk processes with a constant interest rate

zbMATH Keywords

ruin probabilitycoefficient of variationdeficit at ruinsurplus prior to ruinrenewal equationreliability classes

Mathematics Subject Classification ID

Cited In (3)

• Exact results and bounds for the joint tail and moments of the recurrence times in a renewal process
• On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes
• The covariance of the backward and forward recurrence times in a renewal process: the stationary case and asymptotics for the ordinary case

This page was built for publication: The covariance between the surplus prior to and ruin in the classical risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2866028)