### Abstract

In the classic model of collective risk theory, let the function G(u, y) be the probability that ruin occurs from initial reserve level u, and that the deficit at the time of ruin is less than y. In two recent papers [Gerber (1987), Dufresne and Gerber (1988)] explicit solutions for G(u, y) have been found when the claim amount distribution is a combination of exponential or gamma distributions. In this paper we consider an alternative approach to the problem of calculating G(u, y) by deriving an equation which can be used to calculate approximate values of G(u, y) by a recursive method. © 1989.

Original language | English |
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Pages (from-to) | 145-148 |

Number of pages | 4 |

Journal | Insurance: Mathematics and Economics |

Volume | 8 |

Issue number | 2 |

Publication status | Published - Jun 1989 |

### Keywords

- Probability of ruin
- Severity of ruin

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## Cite this

Dickson, D. C. M. (1989). Recursive calculation of the probability and severity of ruin.

*Insurance: Mathematics and Economics*,*8*(2), 145-148.