On the distribution of the claim causing ruin

D. C M Dickson

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish
Pages (from-to)143-154
Number of pages12
JournalInsurance: Mathematics and Economics
Volume12
Issue number2
Publication statusPublished - Apr 1993

Keywords

  • Claim causing ruin
  • Probability of ruin
  • Recursive calculation
  • Surplus prior to ruin

Fingerprint Dive into the research topics of 'On the distribution of the claim causing ruin'. Together they form a unique fingerprint.

  • Cite this