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Volumn 29, Issue 2, 2001, Pages 247-255

On the distribution of surplus immediately after ruin under interest force

Author keywords

Compound Poisson model; Integral equations; Interest force; Severity of ruin

Indexed keywords


EID: 0009935177     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(01)00085-3     Document Type: Article
Times cited : (21)

References (13)
  • 1
    • 38249036191 scopus 로고
    • Upper bound on ruin probabilities in case of negative loadings and positive interest rates
    • Boogaert P., Crijns V. Upper bound on ruin probabilities in case of negative loadings and positive interest rates. Insurance: Mathematics and Economics. 6:1987;221-232.
    • (1987) Insurance: Mathematics and Economics , vol.6 , pp. 221-232
    • Boogaert, P.1    Crijns, V.2
  • 3
    • 0001105539 scopus 로고
    • The surpluses immediately before and at ruin, and the amount of the claim causing ruin
    • Dufresne F., Gerber H.U. The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Insurance: Mathematics and Economics. 7:1988a;193-199.
    • (1988) Insurance: Mathematics and Economics , vol.7 , pp. 193-199
    • Dufresne, F.1    Gerber, H.U.2
  • 4
    • 38249031188 scopus 로고
    • The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
    • Dufresne F., Gerber H.U. The probability and severity of ruin for combinations of exponential claim amount distributions and their translations. Insurance: Mathematics and Economics. 7:1988b;75-80.
    • (1988) Insurance: Mathematics and Economics , vol.7 , pp. 75-80
    • Dufresne, F.1    Gerber, H.U.2
  • 5
    • 0031573355 scopus 로고    scopus 로고
    • The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
    • Gerber H.V., Shiu E.S.W. The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Insurance: Mathematics and Economics. 21:1997;129-137.
    • (1997) Insurance: Mathematics and Economics , vol.21 , pp. 129-137
    • Gerber, H.V.1    Shiu, E.S.W.2
  • 7
    • 84974324244 scopus 로고
    • On the probability and severity of ruin
    • Gerber H.V., Goovaerts M.J., Kaas R. On the probability and severity of ruin. Astin Bulletin. 17(2):1987;151-153.
    • (1987) Astin Bulletin , vol.17 , Issue.2 , pp. 151-153
    • Gerber, H.V.1    Goovaerts, M.J.2    Kaas, R.3
  • 9
    • 0032523393 scopus 로고    scopus 로고
    • Ruin theory with compounding assets: A survey
    • Paulsen J. Ruin theory with compounding assets: a survey. Insurance: Mathematics and Economics. 22:1998;3-16.
    • (1998) Insurance: Mathematics and Economics , vol.22 , pp. 3-16
    • Paulsen, J.1
  • 12
    • 0032585141 scopus 로고    scopus 로고
    • Exact and approximate properties of the distribution of surplus before and after ruin
    • Willmot G.E., Lin X. Exact and approximate properties of the distribution of surplus before and after ruin. Insurance: Mathematics and Economics. 23:1997;91-110.
    • (1997) Insurance: Mathematics and Economics , vol.23 , pp. 91-110
    • Willmot, G.E.1    Lin, X.2
  • 13
    • 58049125648 scopus 로고    scopus 로고
    • Non-exponential bounds for ruin probability with interest effect included
    • Yang, H., 1999. Non-exponential bounds for ruin probability with interest effect included. Scandinavian Actuarial Journal, 66-79.
    • (1999) Scandinavian Actuarial Journal , pp. 66-79
    • Yang, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.