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Some Finite Time Ruin Problems

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  • Dickson, D. C. M.

Abstract

In the classical risk model, we use probabilistic arguments to write down expressions in terms of the density function of aggregate claims for joint density functions involving the time to ruin, the deficit at ruin and the surplus prior to ruin. We give some applications of these formulae in the cases when the individual claim amount distribution is exponential and Erlang(2).

Suggested Citation

  • Dickson, D. C. M., 2007. "Some Finite Time Ruin Problems," Annals of Actuarial Science, Cambridge University Press, vol. 2(2), pages 217-232, September.
    • Handle: RePEc:cup:anacsi:v:2:y:2007:i:02:p:217-232_00
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    Cited by:

    1. Dickson, David C.M., 2016. "A note on some joint distribution functions involving the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 120-124.
    2. Trung Kien Nguyen & Nguyen Thanh Hung & Huong Nguyen-Thu, 2020. "A linear time algorithm for the p-maxian problem on trees with distance constraint," Journal of Combinatorial Optimization, Springer, vol. 40(4), pages 1030-1043, November.
    3. Dickson, David C.M., 2012. "The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 334-337.
    4. Li, Jingchao & Dickson, David C.M. & Li, Shuanming, 2015. "Some ruin problems for the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 1-8.
    5. Wei Ding & Ke Qiu, 2018. "A quadratic time exact algorithm for continuous connected 2-facility location problem in trees," Journal of Combinatorial Optimization, Springer, vol. 36(4), pages 1262-1298, November.

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