On the distribution of the duration of negative surplus

David Dickson and Alfredo Egidio dos Reis

Scandinavian Actuarial Journal, 1996, vol. 1996, issue 2, 148-164

Abstract: 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 through the use of a discrete time risk model.

Date: 1996
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DOI: 10.1080/03461238.1996.10413969

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