On a joint distribution for the risk process with constant interest force

DOI10.1016/j.insmatheco.2005.03.001zbMath1110.62149MaRDI QIDQ882861

Rong Wu, Guo-jing Wang, Chun-sheng Zhang

Publication date: 24 May 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.03.001

zbMATH Keywords

Laplace transform; Deficit at ruin; Interest; Surplus immediately before ruin; Time of ruin; Transition density function

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

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

60K05: Renewal theory

Related Items

Total Duration of Negative Surplus for the Risk Process with Constant Interest Force, Recovery process model, On the renewal risk process with stochastic interest, The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier, Ruin problems with stochastic premium stochastic return on investments, Dividend payments in the classical risk model under absolute ruin with debit interest, Some Ruin Problems for a Risk Process with Stochastic Interest, Risk Processes with Interest Force in Markovian Environment

Cites Work

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