Explicit form of finite-time severity of ruin for phase-distributed claim sizes

DOI10.1007/BF02808593zbMath1321.62123OpenAlexW2312646990MaRDI QIDQ5422712

Mohammed Snoussi, Faouzi El Bantli

Publication date: 30 October 2007

Published in: Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02808593

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Reliability and life testing (62N05)

Cites Work

• Unnamed Item
• On the distribution of the claim causing ruin
• Recursive calculation of finite-time ruin probabilities
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• On the distribution of the surplus prior to ruin
• On the numerical evaluation of the ultimate ruin probability

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