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Some Finite Time Ruin Problems

Published online by Cambridge University Press:  10 May 2011

D. C. M. Dickson
D. C. M. Dickson
Affiliation:
Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia., Email: [email protected]
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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

Finite Time RuinJoint DensityDeficit at Ruin
Type
Papers
Information
Annals of Actuarial Science , Volume 2 , Issue 2 , September 2007 , pp. 217 - 232
Copyright
Copyright © Institute and Faculty of Actuaries 2007

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