Ruin Probabilities under Generalized Exponential Distribution

Thampi K. K., Jacob M. J. and Raju N.
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Thampi K. K.: University of Calicut, India
Jacob M. J.: National Institute of Technology at Calicut, India
Raju N.: University of Calicut, India

Asia-Pacific Journal of Risk and Insurance, 2007, vol. 2, issue 1, 12

Abstract: 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.

Keywords: renewal risk process; generalized exponential distribution; ladder height distribution; ruin probabilities. (search for similar items in EconPapers)
Date: 2007
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DOI: 10.2202/2153-3792.1013

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