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Ruin Probability for Translated Combination of Exponential Claims

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  • Chan, Beda

Abstract

An alternative expression for the coefficients in the ruin probability for the classical ruin model with translated combination of exponential claims is derived.

Suggested Citation

  • Chan, Beda, 1990. "Ruin Probability for Translated Combination of Exponential Claims," ASTIN Bulletin, Cambridge University Press, vol. 20(1), pages 113-114, April.
    • Handle: RePEc:cup:astinb:v:20:y:1990:i:01:p:113-114_00
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    Cited by:

    1. Cossette, Hélène & Marceau, Etienne & Perreault, Samuel, 2015. "On two families of bivariate distributions with exponential marginals: Aggregation and capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 214-224.
    2. Yaodi Yong & Hailiang Yang, 2021. "Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models," Mathematics, MDPI, vol. 9(16), pages 1-21, August.
    3. Marcin Rudź, 2015. "A method of calculating exact ruin probabilities in discrete time models," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 37, pages 307-322.
    4. Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2013. "Valuing equity-linked death benefits in jump diffusion models," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 615-623.
    5. Gerber, Hans U. & Shiu, Elias S.W. & Smith, Nathaniel, 2008. "Methods for estimating the optimal dividend barrier and the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 243-254, February.

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