Ruin problems and dual events

D. C M Dickson; A. E. dos Reis

Ruin problems and dual events

D. C M Dickson, A. E. dos Reis

School of Mathematical & Computer Sciences

Research output: Contribution to journal › Article › peer-review

16 Citations (Scopus)

Abstract

Dickson (1992) uses dual events to explain results relating to the distribution of the surplus immediately prior to ruin in the classical surplus process. In this paper we show that dual events can be used to explain other results in ruin theory. In particular we prove and explain the relationship between the density of the surplus immediately prior to ruin, and the joint density of the surplus immediately prior to ruin and the severity of ruin. © 1994.

Original language	English
Pages (from-to)	51-60
Number of pages	10
Journal	Insurance: Mathematics and Economics
Volume	14
Issue number	1
Publication status	Published - Apr 1994

Keywords

Dual events
Probability of ruin
Severity of ruin
Surplus prior to ruin

Cite this

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AU - dos Reis, A. E.

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AB - Dickson (1992) uses dual events to explain results relating to the distribution of the surplus immediately prior to ruin in the classical surplus process. In this paper we show that dual events can be used to explain other results in ruin theory. In particular we prove and explain the relationship between the density of the surplus immediately prior to ruin, and the joint density of the surplus immediately prior to ruin and the severity of ruin. © 1994.

KW - Dual events

KW - Probability of ruin

KW - Severity of ruin

KW - Surplus prior to ruin

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VL - 14

SP - 51

EP - 60

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 1

ER -

Ruin problems and dual events

Abstract

Keywords

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