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Article: On the distribution of surplus immediately after ruin under interest force and subexponential claims

TitleOn the distribution of surplus immediately after ruin under interest force and subexponential claims
Authors
KeywordsCompound Poisson model
Integral equation
Laplace transform
Subexponential distribution
Surplus immediately after ruin
Issue Date2004
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 2004, v. 35 n. 3, p. 703-714 How to Cite?
AbstractThe compound Poisson risk process with a constant interest force is an interesting stochastic model in risk theory. It provides a basic understanding about how investments will affect the ruin probability and related ruin functions. This paper considers the compound Poisson risk model with a constant interest force for an insurance portfolio and studies the distribution of the surplus immediately after ruin under the model. By using the techniques of Kalashnikov and Konstantinides [Kalashnikov, V., Konstantinides, D., 2000. Ruin under interest force and subexponential claims: a simple treatment. Insurance Math. Econ. 27, 145-149] and a formula obtained by Yang and Zhang [Yang, H.L., Zhang, L.H., 2001a. On the distribution of surplus immediately after ruin under interest force. Insurance Math. Econ. 29, 247-255], we give asymptotic formulas of the low and upper bounds for the distribution of the surplus immediately after ruin under subexponential claims. To some extent, we can view our work here as the continuation of the recent important work of Kalashnikov and Konstantinides [Kalashnikov, V., Konstantinides, D., 2000. Ruin under interest force and subexponential claims: a simple treatment. Insurance Math. Econ. 27, 145-149], Yang and Zhang [Yang, H.L., Zhang, L.H., 2001a. On the distribution of surplus immediately after ruin under interest force. Insurance: Mathematics and Economics 29, 247-255] and Konstantinides et al. [Konstantinides, D., Tang, Q.H., Tsitsiashvili, G., 2002. Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. Insurance Math. Econ. 31, 447-460]. © 2004 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82823
ISSN
2023 Impact Factor: 1.9
2023 SCImago Journal Rankings: 1.113
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorWang, Ren_HK
dc.contributor.authorYang, Hen_HK
dc.contributor.authorWang, Hen_HK
dc.date.accessioned2010-09-06T08:33:49Z-
dc.date.available2010-09-06T08:33:49Z-
dc.date.issued2004en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 2004, v. 35 n. 3, p. 703-714en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82823-
dc.description.abstractThe compound Poisson risk process with a constant interest force is an interesting stochastic model in risk theory. It provides a basic understanding about how investments will affect the ruin probability and related ruin functions. This paper considers the compound Poisson risk model with a constant interest force for an insurance portfolio and studies the distribution of the surplus immediately after ruin under the model. By using the techniques of Kalashnikov and Konstantinides [Kalashnikov, V., Konstantinides, D., 2000. Ruin under interest force and subexponential claims: a simple treatment. Insurance Math. Econ. 27, 145-149] and a formula obtained by Yang and Zhang [Yang, H.L., Zhang, L.H., 2001a. On the distribution of surplus immediately after ruin under interest force. Insurance Math. Econ. 29, 247-255], we give asymptotic formulas of the low and upper bounds for the distribution of the surplus immediately after ruin under subexponential claims. To some extent, we can view our work here as the continuation of the recent important work of Kalashnikov and Konstantinides [Kalashnikov, V., Konstantinides, D., 2000. Ruin under interest force and subexponential claims: a simple treatment. Insurance Math. Econ. 27, 145-149], Yang and Zhang [Yang, H.L., Zhang, L.H., 2001a. On the distribution of surplus immediately after ruin under interest force. Insurance: Mathematics and Economics 29, 247-255] and Konstantinides et al. [Konstantinides, D., Tang, Q.H., Tsitsiashvili, G., 2002. Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails. Insurance Math. Econ. 31, 447-460]. © 2004 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.rightsInsurance: Mathematics and Economics. Copyright © Elsevier BV.en_HK
dc.subjectCompound Poisson modelen_HK
dc.subjectIntegral equationen_HK
dc.subjectLaplace transformen_HK
dc.subjectSubexponential distributionen_HK
dc.subjectSurplus immediately after ruinen_HK
dc.titleOn the distribution of surplus immediately after ruin under interest force and subexponential claimsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-6687&volume=35&issue=3&spage=703&epage=714&date=2004&atitle=On+the+distribution+of+surplus+immediately+after+ruin+under+interest+force+and+subexponential+claimsen_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/j.insmatheco.2004.07.002en_HK
dc.identifier.scopuseid_2-s2.0-10144255101en_HK
dc.identifier.hkuros101253en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-10144255101&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume35en_HK
dc.identifier.issue3en_HK
dc.identifier.spage703en_HK
dc.identifier.epage714en_HK
dc.identifier.isiWOS:000225813100013-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridWang, R=7405334582en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridWang, H=13611583600en_HK
dc.identifier.issnl0167-6687-

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