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Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves

  • Published:2012-12-06 Issue:2 Volume:30 Page:157-171
  • ISSN:1524-1904
  • Container-title:Applied Stochastic Models in Business and Industry
  • language:en
  • Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Yang Long1,He Chuanjiang1

Affiliation:

1. College of Mathematics and Statistics; Chongqing University; Chongqing 401331 China

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference19 articles.

1. Der eifluss von zins auf die ruinwahrscheinlichkeit;Gerber;Bulletin of the Swiss Association of Actuaries,1971

2. Martingales and insurance risk;Dassios;Stochastic Models,1989

3. The effect of interest on negative surplus;Dickson;Insurance: Mathematics and Economics,1997

4. On the distribution of the surplus of the D-E model prior to and at ruin;Zhang;Insurance: Mathematics and Economics,1999

5. On the time value of absolute ruin with debit interest;Cai;Advances in Applied Probability,2007

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