✍ Scribed by David C.M. Dickson; Alfredo D. Egídio dos Reis
No coin nor oath required. For personal study only.
In the classical continuous time surplus process, we allow the process to continue if the surplus falls below zero. When the surplus is below zero, we assume that the insurer borrows any sum of money required to pay claims, and pays interest on this borrowing. We use simulation to study moments and distributions of three quantities: the time to recovery to surplus level zero, the number of claims that occur when the surplus is below zero, and the maximum absolute value of the surplus process when it is below zero. We also show how simulation can be used to estimate the probability of absolute ruin.
📜 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 satisÿed by the distributions of surplus immediately before ruin and their Laplace transf
## Abstract In the dual model, we allow the surplus process to continue if the surplus falls below zero. By introducing the renewal measure of the defective renewal sequence constituted by the zero points of the surplus process, we obtain the probability of hitting the zero point. Further, we deriv