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On the Distribution of the Claim Causing Ruin

D. Dickson
Journal / Anthology

Insurance: Mathematics and Economics
Year: 1993
Volume: 12
Page range: 143-154

We extend the work of Dufresne and Gerber (1988) by developing expressions for the distribution function of the claim causing ruin in the classical compound Poisson process. We consider the special case when the initial surplus is zero, as well as illustrating results when the initial surplus is positive. We also consider a discrete time risk model and show how the distribution can be calculated by a recursive method.

*Business and Economics
*Mathematics > Probability and Statistics