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. |
|---|---|
| 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 |
| _version_ | 1866810675482853376 |
|---|---|
| author | Dickson, David C.M. |
| author2 | Reis, Alfredo D. Egídio dos |
| author2_role | author |
| author_facet | Dickson, David C.M. Reis, Alfredo D. Egídio dos |
| author_role | author |
| contributor_name_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Dickson, David C.M.\"},{\"Person.name\":\"Reis, Alfredo D. Egídio dos\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| datacite.creators.creator.creatorName.fl_str_mv | Dickson, David C.M. Reis, Alfredo D. Egídio dos |
| datacite.date.Accepted.fl_str_mv | 1995-01-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2022-06-03T10:50:58Z |
| datacite.date.embargoed.fl_str_mv | 2022-06-03T10:50:58Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation |
| datacite.titles.title.fl_str_mv | On the distribution of the duration of negative surplus |
| dc.contributor.none.fl_str_mv | Repositório Científico de Acesso Aberto da ULisboa |
| dc.creator.none.fl_str_mv | Dickson, David C.M. Reis, Alfredo D. Egídio dos |
| dc.date.Accepted.fl_str_mv | 1995-01-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2022-06-03T10:50:58Z |
| dc.date.embargoed.fl_str_mv | 2022-06-03T10:50:58Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | http://hdl.handle.net/10400.5/24479 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | The University of Melboume |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation |
| dc.title.fl_str_mv | On the distribution of the duration of negative surplus |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_8042 |
| description | 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. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | workingPaper |
| fulltext.url.fl_str_mv | https://repositorio.ulisboa.pt/bitstreams/275be140-d692-4e7f-9de1-19ffd79528fe/download |
| id | ul_ba1ff22601ac3e6cfaaea2c7968ec304 |
| identifier.url.fl_str_mv | http://hdl.handle.net/10400.5/24479 |
| instacron_str | ul |
| institution | Universidade de Lisboa |
| instname_str | Universidade de Lisboa |
| language | eng |
| network_acronym_str | ul |
| network_name_str | Repositório da Universidade de Lisboa |
| oai_identifier_str | oai:repositorio.ulisboa.pt:10400.5/24479 |
| organization_str_mv | urn:organizationAcronym:ul |
| person_str_mv | Dickson, David C.M. Reis, Alfredo D. Egídio dos |
| publishDate | 1995 |
| publisher.none.fl_str_mv | The University of Melboume |
| reponame_str | Repositório da Universidade de Lisboa |
| repository_id_str | urn:repositoryAcronym:ul |
| service_str_mv | urn:repositoryAcronym:ul |
| spelling | engThe University of Melboumept_PTIn 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.application/pdfpt_PTOn the distribution of the duration of negative surplusDickson, David C.M.Reis, Alfredo D. Egídio dosHostingInstitutionOrganizationalRepositório Científico de Acesso Aberto da ULisboae-mailmailto:repositorio@reitoria.ulisboa.ptrepositorio@reitoria.ulisboa.pt2022-06-03T10:50:58Z19951995-01-01T00:00:00ZHandlehttp://hdl.handle.net/10400.5/24479http://purl.org/coar/access_right/c_abf2open accessRuin TheoryNegative SurplusSeverity of RuinFailure RateRecursive Calculation1721840 bytesother research producthttp://purl.org/coar/resource_type/c_8042working paperhttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://repositorio.ulisboa.pt/bitstreams/275be140-d692-4e7f-9de1-19ffd79528fe/download |
| spellingShingle | On the distribution of the duration of negative surplus Dickson, David C.M. Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation |
| status | SINGLETON |
| subject.fl_str_mv | Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation |
| title | On the distribution of the duration of negative surplus |
| title_full | On the distribution of the duration of negative surplus |
| title_fullStr | On the distribution of the duration of negative surplus |
| title_full_unstemmed | On the distribution of the duration of negative surplus |
| title_short | On the distribution of the duration of negative surplus |
| title_sort | On the distribution of the duration of negative surplus |
| topic | Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation |
| topic_facet | Ruin Theory Negative Surplus Severity of Ruin Failure Rate Recursive Calculation |
| url | http://hdl.handle.net/10400.5/24479 |
| visible | 1 |