On the distribution of the claim causing ruin

DOI10.1016/0167-6687(93)90824-9zbMATH Open0783.62083OpenAlexW2035764996MaRDI QIDQ689579FDOQ689579

Publication date: 12 December 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(93)90824-9

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tables numerical examples surplus prior to ruin discrete time risk model recursive method compound Poisson process probability of ruin claim causing ruin initial surplus

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

Title not available (Why is that?)
Recursive calculation of finite-time ruin probabilities
The surpluses immediately before and at ruin, and the amount of the claim causing ruin
On the distribution of the surplus prior to ruin

Cited In (23)

The surpluses immediately before and at ruin, and the amount of the claim causing ruin
Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
On some measures of the severity of ruin in the classical Poisson model
On the discounted distribution functions of the surplus process perturbed by diffusion.
Taylor-series expansion for multivariate characteristics of classical risk processes
On the discounted distribution functions for the Erlang(2) risk process
On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model
On distributions of runs in the compound binomial risk model
Explicit form of finite-time severity of ruin for phase-distributed claim sizes
On some characteristics of the claim surplus process
Practical approximations for multivariate characteristics of risk processes
On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
Title not available (Why is that?)
The probability of ruin
A note on the Taylor series expansions for multivariate characteristics of classical risk processes
The joint distributions of several important actuarial diagnostics in the classical risk model.
A note on scale functions and the time value of ruin for Lévy insurance risk processes
Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model
On a risk model with dependence between interclaim arrivals and claim sizes
On the Distribution of the Surplus Prior and at Ruin
Calculations of ruin probabilities concerning claim occurrences
An operator property of the distribution of a nonhomogeneous Poisson process with applications

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