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The surpluses immediately before and at ruin, and the amount of the claim causing ruin · Study

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ArticleThe surpluses immediately before and at ruin, and the amount of the claim causing ruin

François Dufresne1988

Article1988

The surpluses immediately before and at ruin, and the amount of the claim causing ruin

François Dufresne · Hans U. Gerber

108 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

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References

1987On the Probability and Severity of Ruin

Cited by

2005On the discounted penalty function in a Markov-dependent risk model 1990When does the surplus reach a given target?2002On the expected discounted penalty function at ruin of a surplus process with interest 1993How long is the surplus below zero?2009Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models 2003The Gerber–Shiu discounted penalty function in the stationary renewal risk model 2001On the discounted distribution functions of the surplus process perturbed by diffusion 1994On some measures of the severity of ruin in the classical Poisson model

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2005The compound Poisson risk model with a threshold dividend strategyarticle · 1 shared reference 2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruinarticle · 1 shared reference 1999Analysis of a defective renewal equation arising in ruin theoryarticle · 1 shared reference 2010Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributionsarticle · 1 shared reference 2002Erlangian Approximations for Finite-Horizon Ruin Probabilitiesarticle · 1 shared reference 1992On the distribution of the surplus prior to ruinarticle · 1 shared reference

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Year1988

Typearticle

Published1988-10-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations108

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0167-6687(88)90076-5

openalex_workW1964800953

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