Makatis, G.; Zazanis, M. A. - In: Mathematical Methods of Operations Research 59 (2004) 2, pp. 329-342
We consider a modified version of the de Finetti model in insurance risk theory in which, when surpluses become negative the company has the possibility of borrowing, and thus continue its operation. For this model we examine the problem of estimating the “time-in-the red” over a finite...