Search Results - subject:"Ruin theory"

Analysis of the discounted sum of ascending ladder heights

Cossette, Hélène; Landriault, David; Marceau, Etienne; … - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 393-401

Within the Sparre Andersen risk model, the ruin probability corresponds to the survival function of the maximal aggregate loss. It is well known that the maximum aggregate loss follows a compound geometric distribution, in which the summands consist of the ascending ladder heights. In the...

Persistent link: https://www.econbiz.de/10010594519

A bridge from ruin theory to credit risk

Chen, Cho-Jieh; Panjer, Harry - In: Review of Quantitative Finance and Accounting 32 (2009) 4, pp. 373-403

Persistent link: https://www.econbiz.de/10004999600

Review of Guillaume Plantin and Jean-Charles Rochet, When Insurers Go Bust: An Economic Analysis of the Role and Design of Prudential Regulation

Marshall, John - In: International Journal of the Economics of Business 16 (2009) 1, pp. 139-146

, and transparency. In consequence, ruin theory does not have an operational role. Theory is applied in familiar ways that …

Persistent link: https://www.econbiz.de/10005268655