RUIN PROBLEMS AND DUAL EVENTS

被引：11

作者：

DICKSON, DCM ^{[1
]}

DOSREIS, AE ^{[1
]}

机构：

[1] HERIOT WATT UNIV,DEPT ACTUARIAL MATH & STAT,EDINBURGH EH14 4AS,MIDLOTHIAN,SCOTLAND

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1994年 / 14卷 / 01期

关键词：

PROBABILITY OF RUIN; SURPLUS PRIOR TO RUIN; SEVERITY OF RUIN; DUAL EVENTS;

D O I：

10.1016/0167-6687(94)00005-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Dickson (1992) uses dual events to explain results relating to the distribution of the surplus immediately prior to ruin in the classical surplus process. In this paper we show that dual events can be used to explain other results in ruin theory. In particular we prove and explain the relationship between the density of the surplus immediately prior to ruin, and the joint density of the surplus immediately prior to ruin and the severity of ruin.

引用

页码：51 / 60

页数：10

共 7 条

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INSURANCE MATHEMATICS & ECONOMICS, 1992, 11 (03) :191-207

[3]

Dickson DCM., 1984, SCANDINAVIAN ACTUARI, V1984, P105, DOI DOI 10.1080/03461238.1984.10413758

[4] THE SURPLUSES IMMEDIATELY BEFORE AND AT RUIN, AND THE AMOUNT OF THE CLAIM CAUSING RUIN [J].

DUFRESNE, F ;

GERBER, HU .

INSURANCE MATHEMATICS & ECONOMICS, 1988, 7 (03) :193-199

[5]

Gerber H.U., 1987, ASTIN BULL, V17, P151

[6]

IFELLER W, 1966, INTRO PROBABILITY TH, V2

[7]

Panjer H.H., 1992, INSURANCE RISK MODEL

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