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

DOI10.1016/0167-6687(88)90100-XzbMATH Open0637.62101OpenAlexW2029485082MaRDI QIDQ1098534FDOQ1098534

Authors: François Dufresne, H. U. Gerber 

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90100-x

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zbMATH Keywords

discrete time modeltime of ruinprobability of ruinseverity of ruincollective risk theorycombination of exponential distributionsclassical compound Poisson model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The probability of ruin for the inverse Gaussian and related processes
• The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas

Cited In (35)

• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• The Time Value of Ruin in a Sparre Andersen Model
• Taylor-series expansion for multivariate characteristics of classical risk processes
• On the distribution of surplus immediately after ruin under interest force
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model
• Discussion on “On Cramér’s First Contributions to Ruin Theory,” by Ennio Badolati and Sandra Ciccone, Volume 21(2)
• Title not available (Why is that?)
• On the ruin probability of an insurance company when the claim sizes are distributed as a mixture of exponential distributions.
• 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
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Approximations for moments of deficit at ruin with exponential and subexponential claims.
• Optimal prevention of large risks with two types of claims
• Exact and approximate properties of the distribution of surplus before and after ruin
• A note on the Taylor series expansions for multivariate characteristics of classical risk processes
• Ruin problems for a discrete time risk model with random interest rate
• On a risk measure inspired from the ruin probability and the expected deficit at ruin
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Recursive calculation of the probability and severity of ruin
• Analysis of a defective renewal equation arising in ruin theory
• Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach
• The probability of ruin in a discrete semi-Markov risk model
• A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
• Ruin Probability for the Integrated Gaussian Process with Force of Interest
• On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
• Valuing equity-linked death benefits in jump diffusion models
• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
• On the severity of ruin in a Markov-modulated risk model
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Title not available (Why is that?)
• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• Approximate solutions of severity of ruins
• Ladder height distributions with marks

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