On the distribution of the surplus prior to ruin
β Scribed by David C.M. Dickson
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 925 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0167-6687
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π SIMILAR VOLUMES
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 transf
We examine the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transform, which can naturally be interpreted as discounting. We show that, as a function of the initial surplus, the joint densit
We obtain explicit expressions for the distribution of surplus immediately before and after ruin which allow for simple derivation of bounds as well as simple evaluation for certain choices of the claim size distribution. We then use these expressions to construct Tijms-type approximations which are