Ruin Probabilities under Generalized Exponential Distribution

We consider a renewal risk model in which the claim inter-arrival distribution is generalized exponential (GE). We obtain the probability distribution for the ladder height distribution and use it to find the bounds for the ultimate ruin probabilities for individual claim amount distributions. The method suggested by Dufresne and Gerber (1989) is used for finding the bounds for ruin probabilities.

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Year of publication:	2007
Authors:	Thampi, K. K. ; Jacob, M. J. ; Raju, N.
Published in:	Asia-Pacific Journal of Risk and Insurance. - De Gruyter, ISSN 2153-3792, ZDB-ID 2541118-4. - Vol. 2.2007, 1
Publisher:	De Gruyter
Subject:	renewal risk process \| generalized exponential distribution \| ladder height distribution \| ruin probabilities.

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/2153-3792.1013 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014585435