The probability and severity of ruin for combinations of exponential claim amount distributions and their translations

Details

Serval ID
serval:BIB_1763F56F83CB
Type
Article: article from journal or magazin.
Collection
Publications
Title
The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
Journal
Insurance: Mathematics and Economics
Author(s)
Dufresne F., Gerber H.U.
Publication state
Published
Issued date
1988
Volume
7
Number
2
Pages
75-80
Abstract
In the classical compound Poisson model of the collective theory of risk let ?(u, y) denote the probability that ruin occurs and that the negative surplus at the time of ruin is less than ? y. It is shown how this function, which also measures the severity of ruin, can be calculated if the claim amount distribution is a translation of a combination of exponential distributions. Furthermore, these results can be applied to a certain discrete time model.
Keywords
Probability of ruin, Severity of ruin, Combination of exponential distributions
Create date
19/11/2007 9:38
Last modification date
20/08/2019 12:47
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