ON THE DISTRIBUTION OF THE CLAIM CAUSING RUIN

被引：13

作者：

DICKSON, DCM ^{[1
]}

机构：

[1] HERIOT WATT UNIV,EDINBURGH EH1 1HX,MIDLOTHIAN,SCOTLAND

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1993年 / 12卷 / 02期

关键词：

PROBABILITY OF RUIN; SURPLUS PRIOR TO RUIN; CLAIM CAUSING RUIN; RECURSIVE CALCULATION;

D O I：

10.1016/0167-6687(93)90824-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We extend the work of Dufresne and Gerber (1988) by developing expressions for the distribution function of the claim causing ruin in the classical compound Poisson process. We consider the special case when the initial surplus is zero, as well as illustrating results when the initial surplus is positive. We also consider a discrete time risk model and show how the distribution can be calculated by a recursive method.

引用

页码：143 / 154

页数：12

共 11 条

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GOOVAERTS, MJ .

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[2] ON THE DISTRIBUTION OF THE SURPLUS PRIOR TO RUIN [J].

DICKSON, DCM .

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

[3]

DICKSON DCM, 1992, ASTIN B, V23, P177

[4]

DICKSON DCM, 1991, ASTIN B, V22, P199

[5] 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

[6]

Dufresne P.F., 1988, ASTIN BULL, V18, P31

[7]

Gerber H.U., 1988, ASTIN B J IAA, V18, P161

[8]

GERBER HU, 1979, SS HUEBNER F MONOGRA, V8

[9]

Hogg R.V, 1984, LOSS DISTRIBUTIONS

[10]

Panjer Harry H., 1981, ASTIN BULL, V12, P22, DOI [DOI 10.1017/S0515036100006796, 10.1017/ S0515036100006796]

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