IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

On the distribution of surplus immediately before ruin under interest force

Listed author(s):
  • Yang, Hailiang
  • Zhang, Lihong

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

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

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

in new window

Handle: RePEc:eee:stapro:v:55:y:2001:i:3:p:329-338
Contact details of provider: Web page:

Order Information: Postal:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

in new window

  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. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
  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. Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob, 1987. "On the Probability and Severity of Ruin," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 17(02), pages 151-163, November.
  5. 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.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:55:y:2001:i:3:p:329-338. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.