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On the distribution of surplus immediately before ruin under interest force

✍ Scribed by Hailiang Yang; Lihong Zhang

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
108 KB
Volume
55
Category
Article
ISSN
0167-7152

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✦ Synopsis

In this paper, we consider a compound Poisson model with a constant interest force for an insurance portfolio. We investigate the distribution of surplus process immediately before ruin in particular. Equations satisΓΏed by the distributions of surplus immediately before ruin and their Laplace transform have been obtained. Some special cases are also discussed and Lundberg-type bounds are presented.

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