We extend the work of Dufresne and Gerber (1988) by developing expressions for the distribution function of the claim causing ruin in the classical compound Poisson process. We consider the special case when the initial surplus is zero, as well as illustrating results when the initial surplus is positive. We also consider a discrete time risk model and show how the distribution can be calculated by a recursive method. © 1993.
|Number of pages||12|
|Journal||Insurance: Mathematics and Economics|
|Publication status||Published - Apr 1993|
- Claim causing ruin
- Probability of ruin
- Recursive calculation
- Surplus prior to ruin