- Economics - Research Publications
Economics - Research Publications
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ItemOn the expected discounted penalty function at ruin of a surplus process with interestCai, Jun ; Dickson, David C.M. ( 2001-11)In this paper, we study the expected value of a discounted penalty function at ruin of the classical surplus process modified by the inclusion of interest of the surplus. The 'penalty' is simply a function of the surplus immediately prior to ruin and the deficit at ruin. An integral equation for the expected value is derived, while the exact solution is given when the initial surplus is zero. Dickson's (1992) formulae for the distribution of the surplus immediately prior to ruin in the classical surplus process are generalised to our modified surplus process.
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ItemModern landmarks in actuarial scienceDICKSON, DCM (The Institute of Actuaries of Australia, 2001)
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ItemOn the time to ruin for Erlang(2) risk processesDickson, DCM ; Hipp, C (ELSEVIER SCIENCE BV, 2001-12-20)