Title of article
When does surplus reach a certain level before ruin?
Author/Authors
Zhou، نويسنده , , Xiaowen، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
9
From page
553
To page
561
Abstract
Laplace transform of the first passage time across a given level before ruin is investigated for the surplus process in a perturbed risk model. Such a result is used to obtain the joint distribution of the maximal surplus before ruin, the surplus immediately before ruin and the deficit at ruin, associated with the ruin time. It also allows us to study the similar joint distribution for a risk model with a two-step premium rate.
Keywords
Deficit at ruin , Ruin time , Surplus process , Laplace transform , Perturbed risk model , Risk model with two premium rates
Journal title
Insurance Mathematics and Economics
Serial Year
2004
Journal title
Insurance Mathematics and Economics
Record number
1542834
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