Total Duration of Negative Surplus for the Risk Process with Constant Interest Force

DOI10.1080/07362990701568213zbMath1295.91056MaRDI QIDQ5430135

Min Song, Rong Wu

Publication date: 12 December 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701568213

zbMATH Keywords

strong Markov property; interest; compound Poisson risk process; first-hitting time; total duration of negative surplus; renewal measure

Mathematics Subject Classification ID

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60K05: Renewal theory

Related Items

The perturbed compound Poisson risk process with investment and debit interest, Total duration of negative surplus for the dual model

Cites Work

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• Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
• On the distribution of surplus immediately after ruin under interest force