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On the distribution of surplus immediately before ruin under interest force

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  • Yang, Hailiang
  • Zhang, Lihong

Abstract

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 satisfied 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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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 55 (2001)
Issue (Month): 3 (December)
Pages: 329-338

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Handle: RePEc:eee:stapro:v:55:y:2001:i:3:p:329-338

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Related research

Keywords: Laplace transform Integral equations Renewal theory Lundberg bound Surplus immediately before ruin;

References

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  1. Willmot, Gordon E. & Sheldon Lin, X., 1998. "Exact and approximate properties of the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 91-110, October.
  2. Dufresne, Francois & Gerber, Hans U., 1988. "The surpluses immediately before and at ruin, and the amount of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 7(3), pages 193-199, October.
  3. Yang, Hailiang & Zhang, Lihong, 2001. "On the distribution of surplus immediately after ruin under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 247-255, October.
  4. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
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Cited by:
  1. Wang, Rongming & Yang, Hailiang & Wang, Hanxing, 2004. "On the distribution of surplus immediately after ruin under interest force and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 703-714, December.

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