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