Recursive calculation of the probability and severity of ruin

DOI10.1016/0167-6687(89)90028-0zbMath0682.62083OpenAlexW2017071243MaRDI QIDQ1824337

David C. M. Dickson

Publication date: 1989

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90028-0

zbMATH Keywords

exponential distributionssurvival probabilityrecursive methodseverity of ruingamma distributionsprobability of ruincollective risk theoryclaim amount distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case ⋮ Taylor-series expansion for multivariate characteristics of classical risk processes ⋮ A solution to the ruin problem for Pareto distributions. ⋮ A note on the Taylor series expansions for multivariate characteristics of classical risk processes ⋮ Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique ⋮ Practical approximations for multivariate characteristics of risk processes ⋮ On the severity of ruin in a Markov-modulated risk model ⋮ On the Distribution of the Deficit at Ruin when Claims are Phase-type ⋮ Stochastic successive approximation method for assessing the insolvency risk of an insurance company ⋮ The deficit at ruin in the stationary renewal risk model ⋮ On the distribution of the duration of negative surplus ⋮ Approximate solutions of severity of ruins

Cites Work

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