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On the distribution of the duration of negative surplus
13 references·1 citing·27 second hop
On the distribution of the duration of negative surplus (1996)On the distribution of the duration of ne…How long is the surplus below zero? (1993)How long is the surplus below…The Probability and Severity of Ruin in Finite and Infinite Time (1992)The Probability and Severity …On the distribution of the surplus prior to ruin (1992)On the distribution of the su…Recursive Calculation of Survival Probabilities (1991)Recursive Calculation of Surv…Three Methods to Calculate the Probability of Ruin (1989)Three Methods to Calculate th…Recursive calculation of finite-time ruin probabilities (1988)Recursive calculation of fini…On the Probability and Severity of Ruin (1987)On the Probability and Severi…Actuarial Mathematics (1986)Actuarial MathematicsRecursive Evaluation of a Family of Compound Distributions (1981)Recursive Evaluation of a Fam…Further Results on Recursive Evaluation of Compound Distributions (1981)Further Results on Recursive …Hans U. Gerber: An Introduction to Mathematical Risk Theory Huebner Foundation Monograph No. 8. Homewood, Ill.: Richard D. Irwin Inc., 1980, xv + 164, paperbound, $ 15.95 (1980)Hans U. Gerber: An Introducti…An introduction to mathematical risk theory (1979)An introduction to mathematic…Stochastic Theory of a Risk Business (1970)Stochastic Theory of a Risk B…Exact and approximate properties of the distribution of surplus before and after ruin (1998)Exact and approximate propert…Actuarial Mathematics. (1986)Spectrally negative Lévy processes with applications in risk theory (2001)On a Classical Risk Model with a Constant Dividend Barrier (2005)Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory (2013)The discrete-time risk model with correlated classes of business (2000)On the Class of Erlang Mixtures with Risk Theoretic Applications (2007)Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2011)Analysis of a defective renewal equation arising in ruin theory (1999)The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (2000)The compound Poisson risk model with a threshold dividend strategy (2005)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)Discounted probabilities and ruin theory in the compound binomial model (2000)On the expected discounted penalty function at ruin of a surplus process with interest (2002)On the discounted penalty function in a Markov-dependent risk model (2005)The Poisson-Inverse Gaussian distribution as an alternative to the negative binomial (1987)On some Extensions of Panjer's Class of Counting Distributions (1992)Panjer recursion versus FFT for compound distributions (2008)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Insurance Risk and Ruin (2005)The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)Optimal dividends in the dual model (2006)Strategies for Dividend Distribution: A Review (2009)Application of Coherent Risk Measures to Capital Requirements in Insurance (1999)Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures (2007)
this work references cited by second hop

References

  • 1979An introduction to mathematical risk theory914 cited
  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited
  • 1970Stochastic Theory of a Risk Business225 cited
  • 1981Further Results on Recursive Evaluation of Compound Distributions201 cited
  • 1987On the Probability and Severity of Ruin175 cited
  • 1986Actuarial Mathematics152 cited
  • 1992On the distribution of the surplus prior to ruin122 cited
  • 1988Recursive calculation of finite-time ruin probabilities108 cited
  • 1991Recursive Calculation of Survival Probabilities106 cited
  • 1993How long is the surplus below zero?86 cited
  • 1980Hans U. Gerber: An Introduction to Mathematical Risk Theory Huebner Foundation Monograph No. 8. Homewood, Ill.: Richard D. Irwin Inc., 1980, xv + 164, paperbound, $ 15.9579 cited
  • 1989Three Methods to Calculate the Probability of Ruin73 cited
  • 1992The Probability and Severity of Ruin in Finite and Infinite Time57 cited

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  • 1998Exact and approximate properties of the distribution of surplus before and after ruin38 cited

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