On the distribution of the duration of negative surplus

DOI10.1080/03461238.1996.10413969zbMATH Open0864.62069OpenAlexW2045401346MaRDI QIDQ4715564FDOQ4715564

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

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failure rate discrete time risk model recursion formula ruin theory duration of negative surplus severity of ruin single periods total duration

Mathematics Subject Classification ID

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

Cites Work

Title not available (Why is that?)
How long is the surplus below zero?
Title not available (Why is that?)
Title not available (Why is that?)
Recursive calculation of finite-time ruin probabilities
Approximations to ruin probability in the presence of an upper absorbing barrier
On the distribution of the surplus prior to ruin
Recursive calculation of the probability and severity of ruin

Cited In (29)

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
On the distribution of duration of first negative surplus for a discrete time risk model with random interest rate
Monotonicity properties and the deficit at ruin in the Sparre Andersen model
Upper bounds on the expected time to ruin and on the expected recovery time

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