On the expected discounted penalty function at ruin of a surplus process with interest

Insurance: Mathematics and Economics

Volumn 30, Issue 3, 2002, Pages 389-404

  Cai, Jun ^a   Dickson, David C M ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Compound poisson process; Deficit at ruin; Force of interest; Laplace transform; Ruin penalty function; Surplus prior to ruin; Volterra equation

Indexed keywords

EID: 0036334068     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00120-8     Document Type: Article

References (11)

1. On the distribution of the surplus prior to ruin
2. The surpluses immediately before and at ruin, and the amount of the claim causing ruin
3. The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
4. On the time value of ruin
5. On the probability and severity of ruin
6. Analysis of a defective renewal equation arising in ruin theory
7. The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
8. Integral Equations
9. Ruin estimates under interest force
10. The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force
11. On the distribution of the surplus immediately after ruin under interest force