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A Heuristic Review of some Ruin Theory Results

Published online by Cambridge University Press:  29 August 2014

G. C. Taylor
G. C. Taylor*
Affiliation:
E. S. Knight & Co., Sydney
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Abstract

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The paper deals with the renewal equation governing the infinite-time ruin probability. It is emphasized as intended to be no more than a pleasant ramble through a few scattered results. An interesting connection between ruin probability and a recursion formula for computation of the aggregate claims distribution is noted and discussed. The relation between danger of the claim size distribution and ruin probability is reexamined in the light of some recent results on stochastic dominance. Finally, suggestions are made as to the way in which the formula for ruin probability leads easily to conclusions about the effect on that probability of the long-tailedness of the claim size distribution. Stable distributions, in particular, are examined.

Keywords

Ruin probabilityrecursive computation of aggregate claims distributiondanger of claim size distributionstable claim size distributions
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 15 , Issue 2 , November 1985 , pp. 73 - 88
Copyright
Copyright © International Actuarial Association 1985

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