Scandinavian Actuarial Journal · 1996 · 48 citations · 13 references
Social SciencesEconomicsMathematicsFinancial EconomicsRisk AnalysisStochastic ProcessesDuration AnalysisMarket RiskRenewal ProcessesRisk TheoryDiscrete-time Duration ModelsDiscrete-time ModelsPeriod ModelsSurplus Process
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.
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Recursive Evaluation of a Family of Compound Distributions
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