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A Heuristic Review of some Ruin Theory Results

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  • Taylor, G. C.

Abstract

The paper deals with the renewal equation governing the infinite-time ruin probability. It is emphasized as intended to be no more than a pleasant ramble through a few scattered results. An interesting connection between ruin probability and a recursion formula for computation of the aggregate claims distribution is noted and discussed. The relation between danger of the claim size distribution and ruin probability is reexamined in the light of some recent results on stochastic dominance. Finally, suggestions are made as to the way in which the formula for ruin probability leads easily to conclusions about the effect on that probability of the long-tailedness of the claim size distribution. Stable distributions, in particular, are examined.

Suggested Citation

  • Taylor, G. C., 1985. "A Heuristic Review of some Ruin Theory Results," ASTIN Bulletin, Cambridge University Press, vol. 15(2), pages 73-88, November.
    • Handle: RePEc:cup:astinb:v:15:y:1985:i:02:p:73-88_00
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    Cited by:

    1. Stanford, David A. & Stroinski, Krzysztof J. & Lee, Karen, 2000. "Ruin probabilities based at claim instants for some non-Poisson claim processes," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 251-267, May.

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