Title of article :
How many claims does it take to get ruined and recovered?
Author/Authors :
Eg??dio dos Reis، نويسنده , , Alfredo D.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2002
Abstract :
We consider in the classical surplus process the number of claims occurring up to ruin, by a different method presented by Stanford and Stroiński [Astin Bulletin 24 (2) (1994) 235]. We consider the computation of Laplace transforms (LTs) which can allow the computation of the probability function. Formulae presented are general.
thod uses the computation of the probability function of the number of claims during a negative excursion of the surplus process, in case it gets ruined. When initial surplus is zero this probability function allows us to completely define the recursion for the transform above. This uses the fact that in this particular case, conditional time to ruin has the same distribution as the time to recovery, given that ruin occurs.
sider also the computation of moments of the number of claims during recovery time, which with initial surplus zero allows us to compute the moments of the number of claims up to ruin. We end this work by giving some insight on the shapes of the two types of probability functions involved.
Keywords :
Probability of ruin , Claim number up to ruin , Duration of negative surplus , Recursive methods , Time to ruin , Claim number up to recovery , Severity of ruin
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics