On the distribution of the duration of negative surplus

Detalhes bibliográficos
Autor(a) principal: Dickson, David C.M.
Data de Publicação: 1995
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/10400.5/24479
Resumo: In the classical risk model we allow the surplus process to continue if the surplus falls below zero. We consider the distributions of the duration of a single period of negative surplus and of the total duration of negative surplus. We derive explicit results where possible and show how to approximate these distributions.
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spelling On the distribution of the duration of negative surplusRuin TheoryNegative SurplusSeverity of RuinFailure RateRecursive CalculationIn the classical risk model we allow the surplus process to continue if the surplus falls below zero. We consider the distributions of the duration of a single period of negative surplus and of the total duration of negative surplus. We derive explicit results where possible and show how to approximate these distributions.The University of MelboumeRepositório da Universidade de LisboaDickson, David C.M.Reis, Alfredo D. Egídio dos2022-06-03T10:50:58Z19951995-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/24479engDickson, David C.M. and Alfredo D. Egídio dos Reis. (1995) "On the distribution of the duration of negative surplus." The University of Melboume : Centre for Actuarial Studies - Department of Economics. Research Paper Series Nº17/ 1995: pp. 1-19.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:10400.5/24479Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:31.014193Repositório 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 On the distribution of the duration of negative surplus
title On the distribution of the duration of negative surplus
spellingShingle On the distribution of the duration of negative surplus
Dickson, David C.M.
Ruin Theory
Negative Surplus
Severity of Ruin
Failure Rate
Recursive Calculation
title_short On the distribution of the duration of negative surplus
title_full On the distribution of the duration of negative surplus
title_fullStr On the distribution of the duration of negative surplus
title_full_unstemmed On the distribution of the duration of negative surplus
title_sort On the distribution of the duration 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
Negative Surplus
Severity of Ruin
Failure Rate
Recursive Calculation
topic Ruin Theory
Negative Surplus
Severity of Ruin
Failure Rate
Recursive Calculation
description In the classical risk model we allow the surplus process to continue if the surplus falls below zero. We consider the distributions of the duration of a single period of negative surplus and of the total duration of negative surplus. We derive explicit results where possible and show how to approximate these distributions.
publishDate 1995
dc.date.none.fl_str_mv 1995
1995-01-01T00:00:00Z
2022-06-03T10:50:58Z
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/10400.5/24479
url http://hdl.handle.net/10400.5/24479
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. (1995) "On the distribution of the duration of negative surplus." The University of Melboume : Centre for Actuarial Studies - Department of Economics. Research Paper Series Nº17/ 1995: pp. 1-19.
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 The University of Melboume
publisher.none.fl_str_mv The University of Melboume
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
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