Total duration of negative surplus for the risk model with credit and debit interests

MaRDI QIDQ3306209zbMATH OpenFDO

Authors Jing-Min He, Bingbing Wang

Publication date 12 August 2020

zbMATH Keywords

Laplace-Stieltjes transformstrong Markov propertytotal duration of negative surplusdebit interestcredit interest

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Laplace transform (44A10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(6)

• Duration of negative surplus for a two state Markov-modulated risk model
• scientific article; zbMATH DE number 5588958 (Why is no real title available?)
• Total duration of negative surplus for the risk model with debit interest
• Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
• Total duration of negative surplus for a Brownian motion risk model with interest
• Total duration of negative surplus for the dual model

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