Ruin problems and dual events

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

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)51-60
Number of pages10
JournalInsurance: Mathematics and Economics
Volume14
Issue number1
Publication statusPublished - Apr 1994

Keywords

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

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  • Cite this

    Dickson, D. C. M., & dos Reis, A. E. (1994). Ruin problems and dual events. Insurance: Mathematics and Economics, 14(1), 51-60.