The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force

Hailiang Yang and Lihong Zhang

North American Actuarial Journal, 2001, vol. 5, issue 3, 92-103

Abstract: In this paper we consider a compound Poisson risk model with a constant interest force. We investigate the joint distribution of the surplus immediately before and after ruin. By adapting the techniques in Sundt and Teugels (1995), we obtain integral equations satisfied by the joint distribution function and a Lundberg-type inequality. In the case of zero initial reserve and the case of exponential claim sizes, we obtain explicit expressions for the joint distribution function.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.2001.10596001 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:5:y:2001:i:3:p:92-103

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.2001.10596001

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().