Some Finite Time Ruin Problems
Source TitleAnnals of Actuarial Science
PublisherCambridge University Press (CUP)
University of Melbourne Author/sDickson, David
Document TypeJournal Article
CitationsDickson, D. C. M. (2007). Some Finite Time Ruin Problems. Annals of Actuarial Science, 2 (2), pp.217-232. https://doi.org/10.1017/s1748499500000348.
Access StatusThis item is currently not available from this repository
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).
KeywordsBanking; Finance and Investment
- Click on "Export Reference in RIS Format" and choose "open with... Endnote".
- Click on "Export Reference in RIS Format". Login to Refworks, go to References => Import References