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“On the Time Value of Ruin”, Hans U. Gerber and Elias S.W. Shiu, January 1998

✍ Scribed by De Vylder, F. Etienne; Goovaerts, Marc J.

Book ID
126808923
Publisher
Informa UK (Taylor & Francis)
Year
1998
Tongue
English
Weight
91 KB
Volume
2
Category
Article
ISSN
1092-0277

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✍ Hans U. Gerber; Elias S.W. Shiu 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 366 KB

We examine the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transform, which can naturally be interpreted as discounting. We show that, as a function of the initial surplus, the joint densit