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Article: On the distribution of surplus immediately before ruin under interest force

TitleOn the distribution of surplus immediately before ruin under interest force
Authors
KeywordsIntegral equations
Laplace transform
Lundberg bound
Renewal theory
Surplus immediately before ruin
Issue Date2001
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/stapro
Citation
Statistics And Probability Letters, 2001, v. 55 n. 3, p. 329-338 How to Cite?
AbstractIn this paper, we consider a compound Poisson model with a constant interest force for an insurance portfolio. We investigate the distribution of surplus process immediately before ruin in particular. Equations satisfied by the distributions of surplus immediately before ruin and their Laplace transform have been obtained. Some special cases are also discussed and Lundberg-type bounds are presented. © 2001 Elsevier Science B.V.
Persistent Identifierhttp://hdl.handle.net/10722/82647
ISSN
2015 Impact Factor: 0.506
2015 SCImago Journal Rankings: 0.720
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorYang, Hen_HK
dc.contributor.authorZhang, Len_HK
dc.date.accessioned2010-09-06T08:31:47Z-
dc.date.available2010-09-06T08:31:47Z-
dc.date.issued2001en_HK
dc.identifier.citationStatistics And Probability Letters, 2001, v. 55 n. 3, p. 329-338en_HK
dc.identifier.issn0167-7152en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82647-
dc.description.abstractIn this paper, we consider a compound Poisson model with a constant interest force for an insurance portfolio. We investigate the distribution of surplus process immediately before ruin in particular. Equations satisfied by the distributions of surplus immediately before ruin and their Laplace transform have been obtained. Some special cases are also discussed and Lundberg-type bounds are presented. © 2001 Elsevier Science B.V.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/staproen_HK
dc.relation.ispartofStatistics and Probability Lettersen_HK
dc.rightsStatistics & Probability Letters. Copyright © Elsevier BV.en_HK
dc.subjectIntegral equationsen_HK
dc.subjectLaplace transformen_HK
dc.subjectLundberg bounden_HK
dc.subjectRenewal theoryen_HK
dc.subjectSurplus immediately before ruinen_HK
dc.titleOn the distribution of surplus immediately before ruin under interest forceen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-7152&volume=55&issue=3&spage=329&epage=338&date=2001&atitle=On+the+distribution+of+surplus+immediately+before+ruin+under+interest+forceen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S0167-7152(01)00163-8en_HK
dc.identifier.scopuseid_2-s2.0-0041407311en_HK
dc.identifier.hkuros65332en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0041407311&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume55en_HK
dc.identifier.issue3en_HK
dc.identifier.spage329en_HK
dc.identifier.epage338en_HK
dc.identifier.isiWOS:000172184700011-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridZhang, L=36062387100en_HK

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