The effect on interest of negative surplus

Detalhes bibliográficos
Autor(a) principal: Dickson, David C. M.
Data de Publicação: 1997
Outros Autores: Reis, Alfredo D. Egídio dos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/24478
Resumo: In the classical continuous time surplus process, we allow the process to continue if the surplus falls below zero. When the surplus is below zero, we assume that the insurer borrows any sum of money required to pay claims, and pays interest on this borrowing. We use simulation to study moments and distributions of three quantities: the time to recovery to surplus level zero, the number of claims that occur when the surplus is below zero, and the maximum absolute value of the surplus process when it is below zero. We also show how simulation can be used to estimate the probability of absolute ruin.
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spelling The effect on interest of negative surplusRuin TheorySeverity of RuinInterestAbsolute RuinSimulationIn the classical continuous time surplus process, we allow the process to continue if the surplus falls below zero. When the surplus is below zero, we assume that the insurer borrows any sum of money required to pay claims, and pays interest on this borrowing. We use simulation to study moments and distributions of three quantities: the time to recovery to surplus level zero, the number of claims that occur when the surplus is below zero, and the maximum absolute value of the surplus process when it is below zero. We also show how simulation can be used to estimate the probability of absolute ruin.Elsevier - Insurance: Mathematics and EconomicsRepositório da Universidade de LisboaDickson, David C. M.Reis, Alfredo D. Egídio dos2022-06-03T09:57:27Z19971997-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/24478engDickson, David C. M. and Alfredo D. Egídio dos Reis. (1997). "The effect of interest on negative surplus". Insurance: Mathematics and Economics, Vol. 21, No 1: pp. 1-16.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:54:07Zoai:www.repository.utl.pt:10400.5/24478Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:30.968428Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv The effect on interest of negative surplus
title The effect on interest of negative surplus
spellingShingle The effect on interest of negative surplus
Dickson, David C. M.
Ruin Theory
Severity of Ruin
Interest
Absolute Ruin
Simulation
title_short The effect on interest of negative surplus
title_full The effect on interest of negative surplus
title_fullStr The effect on interest of negative surplus
title_full_unstemmed The effect on interest of negative surplus
title_sort The effect on interest of negative surplus
author Dickson, David C. M.
author_facet Dickson, David C. M.
Reis, Alfredo D. Egídio dos
author_role author
author2 Reis, Alfredo D. Egídio dos
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Dickson, David C. M.
Reis, Alfredo D. Egídio dos
dc.subject.por.fl_str_mv Ruin Theory
Severity of Ruin
Interest
Absolute Ruin
Simulation
topic Ruin Theory
Severity of Ruin
Interest
Absolute Ruin
Simulation
description In the classical continuous time surplus process, we allow the process to continue if the surplus falls below zero. When the surplus is below zero, we assume that the insurer borrows any sum of money required to pay claims, and pays interest on this borrowing. We use simulation to study moments and distributions of three quantities: the time to recovery to surplus level zero, the number of claims that occur when the surplus is below zero, and the maximum absolute value of the surplus process when it is below zero. We also show how simulation can be used to estimate the probability of absolute ruin.
publishDate 1997
dc.date.none.fl_str_mv 1997
1997-01-01T00:00:00Z
2022-06-03T09:57:27Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/24478
url http://hdl.handle.net/10400.5/24478
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Dickson, David C. M. and Alfredo D. Egídio dos Reis. (1997). "The effect of interest on negative surplus". Insurance: Mathematics and Economics, Vol. 21, No 1: pp. 1-16.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier - Insurance: Mathematics and Economics
publisher.none.fl_str_mv Elsevier - Insurance: Mathematics and Economics
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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