an:00445327
Zbl 0783.62083
Dickson, David C. M.
On the distribution of the claim causing ruin
EN
Insur. Math. Econ. 12, No. 2, 143-154 (1993).
00015246
1993
j
62P05 62E15 62E20
probability of ruin; surplus prior to ruin; numerical examples; tables; claim causing ruin; compound Poisson process; initial surplus; discrete time risk model; recursive method
Summary: We extend the work of \textit{F. Dufresne} and \textit{H. U. Gerber} [ibid. 7, No 3, 193-199 (1988; Zbl 0674.62072)] 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.
Zbl 0674.62072