The analysis of the duration of negative surplus for a perturbed risk model

DOI10.3969/J.ISSN.1000-2375.2016.06.004zbMATH Open1374.91053MaRDI QIDQ2984282FDOQ2984282

Authors: Ruixue Wei, Guosheng Yu, Xin Xiong 

Publication date: 17 May 2017

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zbMATH Keywords

Laplace transformrisk modelintegral-differential equationconditional moment generating functionfirst duration of negative surplus

Mathematics Subject Classification ID

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• Time analysis of the surplus reaching a given level for the first time in the compound Poisson-geometric risk model
• Duration of negative surplus for compound Poisson risk model with constant interest force
• Analysis of the duration of the negative surplus for a generalized compound Poisson-geometric risk model
• Duration of negative surplus for an improved Poisson-geometric risk model
• Duration of negative surplus for the multi-compound Poisson-geometric risk model of multi-type-insurance with a constant interest rate
• Total duration of negative surplus for the dual model
• On the distribution of duration of first negative surplus for a discrete time risk model with random interest rate

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