On the distribution of the duration of negative surplus

David C. M. Dickson · Alfredo D. Egı́dio dos Reis

45 citations0/0 files storedScandinavian Actuarial Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

Abstract

In the classical risk model we allow the surplus process to continue if the surplus falls below zero. We consider the distributions of the duration of a single period of negative surplus and of the total duration of negative surplus. We derive explicit results where possible and show how to approximate these distributions through the use of a discrete time risk model.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 45 citations exist upstream.

References

1979An introduction to mathematical risk theory 1981Recursive Evaluation of a Family of Compound Distributions 1970Stochastic Theory of a Risk Business 1981Further Results on Recursive Evaluation of Compound Distributions 1987On the Probability and Severity of Ruin 1986Actuarial Mathematics 1992On the distribution of the surplus prior to ruin 1988Recursive calculation of finite-time ruin probabilities

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.