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

Détails

ID Serval
serval:BIB_DD028B02958C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
The probability and severity of ruin for combinations of exponential claim amount distribution and their translations
Périodique
Insurance: Mathematics and Economics
Auteur⸱e⸱s
Dufresne F., Gerber H.U.
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
1988
Peer-reviewed
Oui
Volume
7
Numéro
2
Pages
75-80
Langue
anglais
Résumé
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.
Mots-clé
Probability of ruin, Severity of ruin, Combination of exponential distributions
Web of science
Création de la notice
19/11/2007 11:50
Dernière modification de la notice
20/08/2019 17:01
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