The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
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In the classical compound Poisson model of the collective risk theory let \(\psi\) (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.
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Cites work
- scientific article; zbMATH DE number 4049940 (Why is no real title available?)
- scientific article; zbMATH DE number 3613367 (Why is no real title available?)
- The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
- The probability of ruin for the inverse Gaussian and related processes
Cited in
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- scientific article; zbMATH DE number 5926319 (Why is no real title available?)
- scientific article; zbMATH DE number 6347250 (Why is no real title available?)
- On the ruin probability of an insurance company in the case of claim sizes distributed as a mixture of shifted exponential distributions.
- Valuing equity-linked death benefits in a regime-switching framework
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- The Time Value of Ruin in a Sparre Andersen Model
- On the distribution of surplus immediately after ruin under interest force
- Ruin problems for a discrete time risk model with random interest rate
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