On the distribution of the surplus of the D-E model prior to and at ruin

被引：6

作者：

Zhang, CS ^{[1
]}

Wu, R ^{[1
]}

机构：

[1] Nankai Univ, Dept Math, Tianjin 300071, Peoples R China

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1999年 / 24卷 / 03期

关键词：

surplus; risk theory; restricted borrowing; martingale;

D O I：

10.1016/S0167-6687(99)00005-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, the methods concerning (Embrechts, P., Schmidli, H., 1994. Advances in Applied Probability 26, 404-422) are used to investigate the distribution of the surplus of a Dassios-Embrechts model at ruin, by which we can transform the calculation of the distribution into that of a limit, which refers to the probabilities of some first hitting times. We will also consider briefly the distribution and the density of the surplus immediately prior to ruin and the joint density of the surplus immediately prior to and at ruin. (C) 1999 Elsevier Science B.V. All rights reserved.

引用

页码：309 / 321

页数：13

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