Economics - Research Publications

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De Vylder Approximations to the Moments and Distribution of the Time to Ruin

Dickson, David C M ; Wong, Kwok Swan ( 2004-02)

De Vylder (1978) proposed a method of approximating the probability of ultimate ruin in the classical risk model. In this paper we show that his ideas can be extended to approximate the moments and distribution of the time to ruin
The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models

DICKSON, DCM ; DREKIC, S ( 2004)
Some Optimal Dividends Problems

Dickson, DCM ; Waters, HR (Cambridge University Press (CUP), 2004-05)

We consider a situation originally discussed by De Finetti (1957) in which a surplus process is modified by the introduction of a constant dividend barrier. We extend some known results relating to the distribution of the present value of dividend payments until ruin in the classical risk model and show how a discrete time risk model can be used to provide approximations when analytic results are unavailable. We extend the analysis by allowing the process to continue after ruin.