On the distribution of surplus immediately after ruin under interest force

Hailiang Yang; Lihong Zhang

doi:10.1016/S0167-6687

On the distribution of surplus immediately after ruin under interest force

Hailiang Yang^*
, Lihong Zhang

^*Corresponding author for this work

The University of Hong Kong
Peking University

Research output: Contribution to journal › Article › peer-review

25 Citations (Scopus)

Abstract

In this paper, we consider the problem of the severity of ruin for a compound Poisson model with a constant interest rate. By using the techniques of Sundt and Teugels [Ins.: Math. Econ. 16 (1995) 7], equations satisfied by the distributions of surplus immediately after ruin have been obtained. Some special cases are also discussed. © 2001 Elsevier Science B.V. All rights reserved.

Original language	English
Pages (from-to)	247-255
Journal	Insurance: Mathematics and Economics
Volume	29
Issue number	2
DOIs	https://doi.org/10.1016/S0167-6687
Publication status	Published - 2001
Externally published	Yes

Access to Document

10.1016/S0167-6687

Cite this

@article{29f2de0bd6c34287b12c79b1303b945d,

title = "On the distribution of surplus immediately after ruin under interest force",

abstract = "In this paper, we consider the problem of the severity of ruin for a compound Poisson model with a constant interest rate. By using the techniques of Sundt and Teugels [Ins.: Math. Econ. 16 (1995) 7], equations satisfied by the distributions of surplus immediately after ruin have been obtained. Some special cases are also discussed. {\textcopyright} 2001 Elsevier Science B.V. All rights reserved.",

author = "Hailiang Yang and Lihong Zhang",

year = "2001",

doi = "10.1016/S0167-6687",

language = "English",

volume = "29",

pages = "247--255",

journal = "Insurance: Mathematics and Economics",

issn = "0167-6687",

number = "2",

}

TY - JOUR

T1 - On the distribution of surplus immediately after ruin under interest force

AU - Yang, Hailiang

AU - Zhang, Lihong

PY - 2001

Y1 - 2001

N2 - In this paper, we consider the problem of the severity of ruin for a compound Poisson model with a constant interest rate. By using the techniques of Sundt and Teugels [Ins.: Math. Econ. 16 (1995) 7], equations satisfied by the distributions of surplus immediately after ruin have been obtained. Some special cases are also discussed. © 2001 Elsevier Science B.V. All rights reserved.

AB - In this paper, we consider the problem of the severity of ruin for a compound Poisson model with a constant interest rate. By using the techniques of Sundt and Teugels [Ins.: Math. Econ. 16 (1995) 7], equations satisfied by the distributions of surplus immediately after ruin have been obtained. Some special cases are also discussed. © 2001 Elsevier Science B.V. All rights reserved.

U2 - 10.1016/S0167-6687

DO - 10.1016/S0167-6687

M3 - Article

SN - 0167-6687

VL - 29

SP - 247

EP - 255

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 2

ER -

On the distribution of surplus immediately after ruin under interest force

Abstract

Access to Document

Fingerprint

Cite this