Ruin probabilities and the ruin time distribution (Q378500)
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English | Ruin probabilities and the ruin time distribution |
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Ruin probabilities and the ruin time distribution (English)
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11 November 2013
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The (discounted) surplus of an insurer is modelled as \[ U_t = u + \int_0^t c e^{-\delta s}\;d s - \sum_{k=1}^{N_t} X_k e^{-\delta T_k}\;, \] where \(u\) is the initial capital, \(c\) is the premium rate, \(\delta > 0\) is the constant force of interest, \(\{N_t\}\) is a renewal process with occurrence times \(\{T_k\}\), and \(\{X_k\}\) are the claim sizes. The claim sizes are i.i.d. and independent of the claim arrivals. By conditioning on the first claim time and claim size, an integral equation is found for the ruin probability or, alternatively, for the survival probability. In the special case of exponential interarrival times (classical model), this equation leads to an integro-differential equation. Integration of this equation gives an integral equation. From the differential equation, one can also find the Laplace transform of the survival probability. The approach can also be used to get the ruin probabilities in finite time. The reader may also be interested in [\textit{B. Sundt} and \textit{J. L. Teugels}, Insur. Math. Econ. 16, No. 1, 7--22 (1995; Zbl 0838.62098)], where the result for ruin in infinite time can also be found.
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discounted risk process
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renewal model
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ruin probability
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ruin time distribution
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Cramér-Lundberg model
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Volterra integral equation
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