On the distribution of the duration of negative surplus

DOI10.1080/03461238.1996.10413969MaRDI QIDQ4715564zbMATH OpenOpenAlexFDO

Authors David C. M. Dickson, A. D. E. dos Reis

Publication date 14 January 1997

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1996.10413969

zbMATH Keywords

failure ratediscrete time risk modelrecursion formularuin theoryduration of negative surplusseverity of ruinsingle periodstotal duration

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3312403 (Why is no real title available?)
• Approximations to ruin probability in the presence of an upper absorbing barrier
• How long is the surplus below zero?
• On the distribution of the surplus prior to ruin
• Recursive calculation of finite-time ruin probabilities
• Recursive calculation of the probability and severity of ruin

Cited in

(29)

• Upper bounds on the expected time to ruin and on the expected recovery time
• The effect of interest on negative surplus
• An occupation time related potential measure for diffusion processes
• Total duration of negative surplus for an MAP risk model
• Occupation times in the MAP risk model
• 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
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• On the moments of ruin and recovery times
• The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model
• Exact and approximate properties of the distribution of surplus before and after ruin
• Ratio monotonicity for tail probabilities in the renewal risk model
• On the occupation times in a delayed Sparre Andersen risk model with exponential claims
• Some results on the joint distribution prior to and at the time of ruin in the classical model
• The analysis of the duration of negative surplus for a perturbed risk model
• Total duration of negative surplus for the risk model with credit and debit interests
• The finite time ruin probability in a risk model with capital injections
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Analysis of a defective renewal equation arising in ruin theory
• Total duration of negative surplus for a Brownian motion risk model with interest
• On occupation times for a risk process with reserve-dependent premium
• Complete discounted cash flow valuation
• Total duration of negative surplus for the dual model
• On a Classical Risk Model with a Constant Dividend Barrier
• Parisian ruin in the dual model with applications to the \(G/M/1\) queue
• Occupation measure and local time of classical risk processes
• Monotonicity properties and the deficit at ruin in the Sparre Andersen model
• On the distribution of duration of first negative surplus for a discrete time risk model with random interest rate

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