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Ruin Probability for Translated Combination of Exponential Claims

Published online by Cambridge University Press:  29 August 2014

Beda Chan
Beda Chan*
Affiliation:
University of Toronto, Canada
*
Department of Statistics, University of Toronto, Toronto, CanadaM5S 1A1.
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Abstract

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An alternative expression for the coefficients in the ruin probability for the classical ruin model with translated combination of exponential claims is derived.

Keywords

Probability of ruintranslated combination of exponentials
Type
Short Contributions
Information
ASTIN Bulletin: The Journal of the IAA , Volume 20 , Issue 1 , April 1990 , pp. 113 - 114
Copyright
Copyright © International Actuarial Association 1990

References

REFERENCES

Jr.Bowers, N. L., Gerber, H.U., Hickman, J.C., Jones, D.A. and Nesbitt, C.J. (1986) Actuarial Mathematics. Society of Actuaries, Schaumburg, Illinois.Google Scholar
Dufresne, F. and Gerber, H.U. (1988) The Probability and Severity of Ruin for Combination of Exponential Claim Amount Distributions and Their Translations. Insurance: Mathematics and Economics 7, 75–80.Google Scholar
Dufresne, F. and Gerber, H. U. (1989) Three Methods to Calculate the Probability of Ruin, ASTIN Bulletin 19, 71–90.CrossRefGoogle Scholar