The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force

North American Actuarial Journal

Volumn 5, Issue 3, 2001, Pages 92-103

  Yang, Hailiang ^a   Zhang, Lihong ^b  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

^b PEKING UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011195150     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.2001.10596001     Document Type: Article

References (11)

1. DICKSON, D. C. M. 1992. "On the Distribution of the Surplus Prior to Ruin." Insurance: Mathematics and Economics 11: 191-207.
2. DICKSON, D. C. M., and A. D. E. DOS REIS. 1994. "Ruin Problems and Dual Events." Insurance: Mathematics and Economics 14: 51-60.
3. DUFRESNE, F., and H. U. GERBER. 1988. "The Surpluses Immediately before and at Ruin, and the Amount of the Claim Causing Ruin." Insurance: Mathematics and Economics 7: 193-9.
4. GERBER, H. U., M. J. GOOVAERTS, and R. KAAS. 1987. "On the Probability and Severity of Ruin." ASTIN Bulletin 17: 151-63.
5. GERBER, H. U., and E. S. W. SHIU, 1997. "The Joint Distribution of the Time of Ruin, the Surplus Immediately before Ruin, and the Deficit at Ruin." Insurance: Mathematics and Economics 21: 129-37.
6. GERBER, H. U., and E. S. W. SHIU. 1998. "On the Time Value of Ruin." North American Acturial Journal 2(1): 48-72.
7. KALASHNIKOV, V., and D. KONSTANTINIDES. 2000. "Ruin under Interest Force and Subexponential Claims: A Simple Treatment." Insurance: Mathematics and Economics 27: 145-149.
8. SCHMIDLI, H. 1999. "On the Distribution of the Surplus Prior to and at Ruin." ASTIN Bulletin 29: 227-44.
9. SUNDT, B., and J. L. TEUGELS. 1995. "Ruin Estimates under Interest Force." Insurance: Mathematics and Economics 16: 7-22.
10. YANG, H., and L. ZHANG. 1999a. "On the Distribution of Surplus Immediately after Ruin under Interest Force." Submitted for publication.
11. YANG, H., and L. ZHANG. 1999b. "On the Distribution of Surplus Immediately before Ruin under Interest Force." Submitted for publication.