Exact and approximate properties of the distribution of surplus before and after ruin

被引：25

作者：

Willmot, GE ^{[1
]}

Lin, XS

机构：

[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada

[2] Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52242 USA

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1998年 / 23卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

severity of ruin; surplus prior to ruin; Lundberg bound; increasing failure rate; decreasing failure rate;

D O I：

10.1016/S0167-6687(98)00030-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We obtain explicit expressions for the distribution of surplus immediately before and after ruin which allow for simple derivation of bounds as well as simple evaluation for certain choices of the claim size distribution. We then use these expressions to construct Tijms-type approximations which are often exact. (C) 1998 Elsevier Science B.V.

引用

页码：91 / 110

页数：20

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