Title of article :
The joint distributions of several important actuarial diagnostics in the classical risk model
Author/Authors :
Wei، نويسنده , , Li and Wu، نويسنده , , Rong، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2002
Abstract :
In this paper we examine the joint distributions of several actuarial diagnostics which are important to insurers’ running in the classical risk model. They include the time of the surplus process leaving zero ultimately (simply, the ultimately leaving-time), the number of zero, the surplus immediately prior to ruin, the deficit at ruin, the supreme and minimum profits before ruin, the supreme profits and deficit until it leaves zero ultimately and so on. We obtain explicit expressions for their joint distributions mainly by strong Markov property of the surplus process—a technique used by Wu et al. (2002) [J. Appl. Math., in press], which is completely different from former contributions on this topic. Further, we give the exact calculating results for them when the individual claim amounts are exponentially distributed.
Keywords :
Actuarial diagnostics , Strong Markov property , Joint distributions , Classical risk model , The ultimately leaving-time
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics