Economics - Research Publications

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Start date: 2007 × End date: 2009 × Type: Journal Article × Subject: Finance and Investment × Author: Dickson, David ×

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    Some Finite Time Ruin Problems
    Dickson, DCM (Cambridge University Press (CUP), 2007-09)
    ABSTRACT In the classical risk model, we use probabilistic arguments to write down expressions in terms of the density function of aggregate claims for joint density functions involving the time to ruin, the deficit at ruin and the surplus prior to ruin. We give some applications of these formulae in the cases when the individual claim amount distribution is exponential and Erlang(2).