Economics - Research Publications
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ItemThe Distribution of the time to Ruin in the Classical Risk Model(Cambridge University Press (CUP), 2002-01-01)Abstract We study the distribution of the time to ruin in the classical risk model. We consider some methods of calculating this distribution, in particular by using algorithms to calculate finite time ruin probabilities. We also discuss calculation of the moments of this distribution.
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ItemModern landmarks in actuarial science(The Institute of Actuaries of Australia, 2001)
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ItemOn the time to ruin for Erlang(2) risk processes(ELSEVIER SCIENCE BV, 2001-12-20)
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ItemOptimal dynamic reinsurance( 2006)
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ItemSome Finite Time Ruin Problems(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).
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ItemOptimal Dividends Under a Ruin Probability Constraint(Cambridge University Press (CUP), 2006-09)ABSTRACT We consider a classical surplus process modified by the payment of dividends when the insurer's surplus exceeds a threshold. We use a probabilistic argument to obtain general expressions for the expected present value of dividend payments, and show how these expressions can be applied for certain individual claim amount distributions. We then consider the question of maximising the expected present value of dividend payments subject to a constraint on the insurer's ruin probability.