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On the distribution of surplus immediately after ruin under interest force

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  • Yang, Hailiang
  • Zhang, Lihong

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  • 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.
    • Handle: RePEc:eee:insuma:v:29:y:2001:i:2:p:247-255
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    References listed on IDEAS

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    1. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May.
    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. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    4. Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob, 1987. "On the Probability and Severity of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 17(2), pages 151-163, November.
    5. Dufresne, Francois & Gerber, Hans U., 1988. "The probability and severity of ruin for combinations of exponential claim amount distributions and their translations," Insurance: Mathematics and Economics, Elsevier, vol. 7(2), pages 75-80, April.
    6. 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.
    7. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
    8. Boogaert, P. & Crijns, V., 1987. "Upperbounds on ruin probabilities in case of negative loadings and positive interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 6(3), pages 221-232, July.
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    Cited by:

    1. Cai, Jun & Dickson, David C. M., 2002. "On the expected discounted penalty function at ruin of a surplus process with interest," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 389-404, June.
    2. 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.
    3. Sharifah Farah Syed Yusoff Alhabshi & Zamira Hasanah Zamzuri & Siti Norafidah Mohd Ramli, 2021. "Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time," Risks, MDPI, vol. 9(6), pages 1-21, June.
    4. Yang, Hailiang & Zhang, Lihong, 2001. "On the distribution of surplus immediately before ruin under interest force," Statistics & Probability Letters, Elsevier, vol. 55(3), pages 329-338, December.
    5. Chunwei Wang & Chuancun Yin, 2009. "Dividend payments in the classical risk model under absolute ruin with debit interest," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 247-262, May.

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