On the distribution of the duration of negative surplus
- 1 July 1996
- journal article
- research article
- Published by Taylor & Francis Ltd in Scandinavian Actuarial Journal
- Vol. 1996 (2), 148-164
- https://doi.org/10.1080/03461238.1996.10413969
Abstract
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 through the use of a discrete time risk model.Keywords
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