Abstract
In this chapter we present an in-depth analysis of a generalization of the Cramér-Lundberg model. Three distinguishing additional elements have been incorporated: (1) the insurance firm receives interest over its surplus level, (2) besides claims, leading to negative jumps of the surplus level process, we also allow positive jumps, and (3) as before we obtain the probability of ruin (transformed with respect to the initial capital surplus level) before an exponentially distributed time, but now jointly with three other quantities: the corresponding time of ruin, the undershoot, and the overshoot.
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Mandjes, M., Boxma, O. (2023). Interest and Two-Sided Jumps. In: The Cramér–Lundberg Model and Its Variants. Springer Actuarial(). Springer, Cham. https://doi.org/10.1007/978-3-031-39105-7_4
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DOI: https://doi.org/10.1007/978-3-031-39105-7_4
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