When does surplus reach a certain level before ruin?

被引：16

作者：

Zhou, XW ^{[1
]}

机构：

[1] Concordia Univ, Dept Math & Stat, Montreal, PQ H4B 1R6, Canada

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2004年 / 35卷 / 03期

基金：

加拿大自然科学与工程研究理事会;

关键词：

deficit at ruin; laplace transform; perturbed risk model; risk model with two premium rates; ruin time; surplus process;

D O I：

10.1016/j.insmatheco.2004.07.012

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：553 / 561

页数：9

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