Publicação
On the distribution of the duration of negative surplus
| Resumo: | In the classical risk model we allow the surplus process to continue if the surplus falls below zero. We consider the distributions of the duration of a single period of negative surplus and of the total duration of negative surplus. We derive explicit results where possible and show how to approximate these distributions. |
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| Autores principais: | Dickson, David C.M. |
| Outros Autores: | Reis, Alfredo D. Egídio dos |
| Assunto: | Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation |
| Ano: | 1995 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | In the classical risk model we allow the surplus process to continue if the surplus falls below zero. We consider the distributions of the duration of a single period of negative surplus and of the total duration of negative surplus. We derive explicit results where possible and show how to approximate these distributions. |
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