On the distribution of the duration of negative surplus
Autor(a) principal: | |
---|---|
Data de Publicação: | 1995 |
Outros Autores: | |
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. |
id |
RCAP_c570d7e77af023aee15e491ec828bf90 |
---|---|
oai_identifier_str |
oai:www.repository.utl.pt:10400.5/24479 |
network_acronym_str |
RCAP |
network_name_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository_id_str |
7160 |
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 instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
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 |
repository.mail.fl_str_mv |
|
_version_ |
1799131179477106688 |