From ruin to bankruptcy for compound poisson surplus processes

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20130033648</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20131010175425.0</controlfield>
    <controlfield tag="008">131010e20130708esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20080650025</subfield>
      <subfield code="a">Albrecher, Hansjörg</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">From ruin to bankruptcy for compound poisson surplus processes</subfield>
      <subfield code="c">Hansjörg Albrecher, Volkmar Lautscham</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">In classical risk theory, the infinite-time ruin probability of a surplus process Ct is calculated as the probability of the process becoming negative at some point in time. In this paper, we consider a relaxation of the ruin concept to the concept of bankruptcy, according to which one has a positive surplus-dependent probability to continue despite temporary negative surplus. We study the resulting bankruptcy probability for the compound Poisson risk model with exponential claim sizes for different bankruptcy rate functions, deriving analytical results, upper and lower bounds as well as an efficient simulation method. Numerical examples are given and the results are compared with the classical ruin probabilities. Finally, it is illustrated how the analysis can be extended to study the discounted penalty function under this relaxed ruin criterion.</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000420</subfield>
      <subfield code="t">Astin bulletin</subfield>
      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">08/07/2013 Volumen 43 Número 2 - julio 2013 </subfield>
    </datafield>
  </record>
</collection>