On the distribution of surplus immediately before ruin under interest force

In 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.

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Year of publication:	2001
Authors:	Yang, Hailiang ; Zhang, Lihong
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 55.2001, 3, p. 329-338
Publisher:	Elsevier
Keywords:	Laplace transform Integral equations Renewal theory Lundberg bound Surplus immediately before ruin

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319224