Some Finite Time Ruin Problems

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    Author
    Dickson, DCM
    Date
    2007-09
    Source Title
    Annals of Actuarial Science
    Publisher
    Cambridge University Press (CUP)
    University of Melbourne Author/s
    Dickson, David
    Affiliation
    Economics
    Metadata
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    Document Type
    Journal Article
    Citations
    Dickson, 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 Status
    This item is currently not available from this repository
    URI
    http://hdl.handle.net/11343/29508
    DOI
    10.1017/s1748499500000348
    Abstract
    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).
    Keywords
    Banking; Finance and Investment

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