On the distribution of the claim causing ruin

DOI10.1016/0167-6687(93)90824-9zbMath0783.62083OpenAlexW2035764996MaRDI QIDQ689579

David C. M. Dickson

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

zbMATH Keywords

tablesnumerical examplesrecursive methodcompound Poisson processsurplus prior to ruindiscrete time risk modelprobability of ruinclaim causing ruininitial surplus

Mathematics Subject Classification ID

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

Related Items (15)

On some measures of the severity of ruin in the classical Poisson model ⋮ On the discounted distribution functions for the Erlang(2) risk process ⋮ An operator property of the distribution of a nonhomogeneous Poisson process with applications ⋮ Taylor-series expansion for multivariate characteristics of classical risk processes ⋮ On the discounted distribution functions of the surplus process perturbed by diffusion. ⋮ The joint distributions of several important actuarial diagnostics in the classical risk model. ⋮ A note on the Taylor series expansions for multivariate characteristics of classical risk processes ⋮ Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique ⋮ A note on scale functions and the time value of ruin for Lévy insurance risk processes ⋮ Practical approximations for multivariate characteristics of risk processes ⋮ Explicit form of finite-time severity of ruin for phase-distributed claim sizes ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ On the discounted penalty at ruin in a jump-diffusion and the perpetual put option ⋮ Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times ⋮ On a risk model with dependence between interclaim arrivals and claim sizes

Cites Work

• Unnamed Item
• 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

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