✦ LIBER ✦

Exact and approximate properties of the distribution of surplus before and after ruin

✍ Scribed by Gordon E. Willmot; X. Sheldon Lin

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 879 KB
Volume: 23
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(98)00030-4

No coin nor oath required. For personal study only.

✦ Synopsis

We obtain explicit expressions for the distribution of surplus immediately before and after ruin which allow for simple derivation of bounds as well as simple evaluation for certain choices of the claim size distribution. We then use these expressions to construct Tijms-type approximations which are often exact.

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