IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v9y1977i1-2p231-246_01.html
   My bibliography  Save this article

Calculation of Ruin Probabilities when the Claim Distribution is Lognormal

Author

Listed:
  • Thorin, Olof
  • Wikstad, Nils

Abstract

In this paper some ruin probabilities are calculated for an example of a lognormal claim distribution. For that purpose it is shown that the lognormal distribution function, Λ(y), may be written in the formwhere V(x) is absolutely continuous and without being a distribution function preserves some useful properties of such a function.An attempt is also made to give an approximant Λα(y) to Λ(y) such that Λα(y) is a linear combination of a low number of exponential distributions. For comparison, ruin probabilities are also calculated for two examples of Λα(y).In the considered numerical cases it is assumed that the occurrence of claims follows a Poisson process.

Suggested Citation

  • Thorin, Olof & Wikstad, Nils, 1977. "Calculation of Ruin Probabilities when the Claim Distribution is Lognormal," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 231-246, January.
    • Handle: RePEc:cup:astinb:v:9:y:1977:i:1-2:p:231-246_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100011545/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ramsay, Colin M., 2003. "A solution to the ruin problem for Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 109-116, August.
    2. Grandell, Jan, 2000. "Simple approximations of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 157-173, May.
    3. Baltru-nas, Aleksandras, 2005. "Second order behaviour of ruin probabilities in the case of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 485-498, June.
    4. Pawel Mista, 2006. "Analytical and numerical approach to corporate operational risk modelling," HSC Research Reports HSC/06/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    5. Søren Asmussen & Jens Ledet Jensen & Leonardo Rojas-Nandayapa, 2016. "Exponential Family Techniques for the Lognormal Left Tail," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 774-787, September.
    6. Leipus, Remigijus & Siaulys, Jonas, 2007. "Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 498-508, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:9:y:1977:i:1-2:p:231-246_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.