Three methods to calculate the probability of ruin

Détails

ID Serval
serval:BIB_9B215A737265
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Three methods to calculate the probability of ruin
Périodique
ASTIN Bulletin
Auteur(s)
Dufresne, F., Gerber, H.U. 
Statut éditorial
Publié
Date de publication
1989
Volume
19
Numéro
1
Pages
71-90
Résumé
The first method, essentmlly due to GOOVAERTS and DE VYLDER, uses the
connection between the probabiliy of ruin and the maximal aggregate loss random
variable, and the fact that the latter has a compound geometric distribution.
For the second method, the claim amount distribution is supposed to be a
combination of exponential or translated exponential distributions. Then the
probability of ruin can be calculated in a transparent fashion; the main problem
is to determine the nontrivial roots of the equation that defines the adjustment
coefficient. For the third method one observes that the probability of ruin is
related to the stationary distribution of a certain associated process. Thus it can
be determined by a single simulation of the latter. For the second and third
methods the assumption of only proper (positive) claims is not needed.
Mots-clé
Probability of ruin, discretizatlon, combination of exponentials, simulation.
Création de la notice
19/11/2007 10:42
Dernière modification de la notice
20/08/2019 15:02
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