The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion
نویسندگان
چکیده
منابع مشابه
مازاد سرمایه در زمان ورشکستگی در مدل ریسک کلاسیک با عامل اغتشاش on the surplus prior to ruin in the perturbed classical risk process
هدف این تحقیق در نظر گرفتن مدل ریسک کلاسیک که با عامل فرآیند وینر ، به مدل ریسک کلاسیک با عامل اغتشاش تبدیل می شود. در این تحقیق فرمول هایی صریح برای تابع چگالی احتمال توام و حاشیه ای مقدار مازاد سرمایه بلافاصله قبل و در زمان ورشکستگی و همچنین تابع چگالی احتمالی برای مقادیر و اندازه خسارت هایی که باعث ورشکستگی شده اند، بررسی می شود. نیاز برای چنین تحقیقی بدین سبب احساس می شود که در مدل ریسک کل...
15 صفحه اولThe surplus prior to ruin and the deficit at ruin for a correlated risk process
This paper presents an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre-Andersen risk model with phase-type inter-claim times and claim sizes. The model can also accommodate a Markovian arrival process which enables claim sizes to be correlated with the inte...
متن کاملThe moments of the time of ruin , the surplus before ruin , and the deficit at ruin
In this paper we extend the results in Lin and Willmot (1999 Insurance: Mathematics and Economics 25, 63–84) to properties related to the joint and marginal moments of the time of ruin, the surplus before the time of ruin, and the deficit at the time of ruin. We use an approach developed in Lin and Willmot (1999), under which the solution to a defective renewal equation is expressed in terms of...
متن کاملMoments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
This paper investigates the moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process. Using the integro-differential equation that we establish, we obtain some explicit expressions for the moments. Furthermore, when the claim size is exponentially and subexponentially distributed, asymptotic relationships for the moments are derived as the initial capital tends t...
متن کاملOn the Distribution of the Surplus Prior and at Ruin
Consider a classical compound Poisson model. The safety loading can be positive, negative or zero. Explicit expressions for the distributions of the surplus prior and at ruin are given in terms of the ruin probability. Moreover, the asymptotic behaviour of these distributions as the initial capital tends to infinity are obtained. In particular, for positive safety loading the Cramer case, the c...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2003
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(03)00143-4