Title:

Ruin probability on a finite time horizon

Group publication title:

Mathematical Economics

Title in english:

Prawdopodobieństwo ruiny na skończonym horyzoncie czasu

Creator:

Michna, Zbigniew

Subject and Keywords:

classical risk process ; finite time ruin probability ; Cramer’s formula ; Seal’s formula ; gamma process

Description:

Mathematical Economics, 2010, Nr 6 (13), s. 65-74

Abstrakt:

In this article we investigate the classical risk process. We derive a formula for the ruin probability on a finite time horizon for zero initial capital that is Cramér’s formula and for an arbitrary initial capital that is Seal’s formula. Applying these formulas and the approximation of a gamma process by compound Poisson processes we obtain a formula for the supremum distribution of a gamma process with a linear drift.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2010

Resource Type:

artykuł

Format:

application/pdf

Language:

eng

Relation:

Mathematical Economics, 2010, Nr 6 (13)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu