The probability of ruin in finite time with discrete claim size distribution

Philippe Picard and Claude Lefèvre

Scandinavian Actuarial Journal, 1997, vol. 1997, issue 1, 58-69

Abstract: The ruin time T is considered as the time of first crossing between a compound Poisson trajectory and an upper increasing boundary. Under the assumption that the claim sizes are integer-valued, we show that the distribution of T can be expressed in terms of generalized Appell polynomials. Using the algebraic properties of these polynomials elegant expressions are obtained for P(T > x).

Date: 1997
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DOI: 10.1080/03461238.1997.10413978

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