 previous article in this issue | next article in this issue  |
|
Document Details : Title: On the Distribution of the Surplus Prior to and at Ruin Author(s): SCHMIDLI, H.P. Journal: ASTIN Bulletin Volume: 29 Issue: 2 Date: November 1999 Pages: 227-244 DOI: 10.2143/AST.29.2.504613 Abstract : Consider a classical compound Poisson model. The safety loading can be positive, negative or zero. Explicit expressions for the distributions of the surplus prior and at ruin are given in terms of the ruin probability. Moreover, the asymptotic behaviour of these distributions as the initial capital tends to infinity are obtained. In particular, for positive safety loading the Cramér case, the case of subexponential distributions and some intermediate cases are discussed. |
