On the distribution of surplus immediately after ruin under interest force

Authors
Yang, HL Zhang, LH
Citation
Hl. Yang et Lh. Zhang, On the distribution of surplus immediately after ruin under interest force, INSUR MATH, 29(2), 2001, pp. 247-255
Citations number
13
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
29
Issue
2
Year of publication
2001
Pages
247 - 255
Database
ISI
SICI code
0167-6687(20011019)29:2<247:OTDOSI>2.0.ZU;2-0
Abstract
In this paper, we consider the problem of the severity of ruin for a compou nd Poisson model with a constant interest rate. By using the techniques of Sundt and Teugels [Ins.: Math. Econ. 16 (1995) 7], equations satisfied by t he distributions of surplus immediately after ruin have been obtained. Some special cases are also discussed. (C) 2001 Elsevier Science B.V All rights reserved.