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- W1531104467 abstract "In this article, continuous-time risk models are introduced; the time of ruin, and the surplus immediately before and at ruin caused by a claim are defined. Then the probability of ruin, the (discounted) moment of the severity of ruin caused by a claim, the joint moment of the severity of ruin and the time of ruin caused by a claim, and the (discounted) defective joint/marginal distribution and probability functions of the surplus immediately before and at ruin are studied.Keywords:time of ruin;diffusion process;penalty function;discounted distribution function;defective renewal equation;explicit analytical solution" @default.
- W1531104467 created "2016-06-24" @default.
- W1531104467 creator A5086263632 @default.
- W1531104467 date "2014-09-29" @default.
- W1531104467 modified "2023-09-26" @default.
- W1531104467 title "Severity of Ruin" @default.
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- W1531104467 doi "https://doi.org/10.1002/9781118445112.stat04330" @default.
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