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The Probability and Severity of Ruin in Finite and Infinite Time

Published online by Cambridge University Press:  29 August 2014

David C. M. Dickson  and
Howard R. Waters
David C. M. Dickson*
Affiliation:
Heriot-Watt University, Edinburgh
Howard R. Waters*
Affiliation:
Heriot-Watt University, Edinburgh
*
Department of Actuarial Mathematics and Statistics, Heriot- Watt University, Edinburgh EH14 4AS, United Kingdom.
Department of Actuarial Mathematics and Statistics, Heriot- Watt University, Edinburgh EH14 4AS, United Kingdom.
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Abstract

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In this paper we present algorithms to calculate the probability and severity of ruin in both finite and infinite time for a discrete time risk model. We show how the algorithms can be applied to give approximate values for the same quantities in the classical continuous time risk model.

Keywords

Probability of ruinseverity of ruinrecursive calculationfinite timeinfinite time
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 22 , Issue 2 , November 1992 , pp. 177 - 190
Copyright
Copyright © International Actuarial Association 1992

References

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