An identity based on the generalised negative binomial distribution with applications in ruin theory

David C. M. Dickson

Annals of Actuarial Science, 2019, vol. 13, issue 2, 308-319

Abstract: In this study, we show how expressions for the probability of ultimate ruin can be obtained from the probability function of the time of ruin in a particular compound binomial risk model, and from the density of the time of ruin in a particular Sparre Andersen risk model. In each case evaluation of generalised binomial series is required, and the argument of each series has a common form. We evaluate these series by creating an identity based on the generalised negative binomial distribution. We also show how the same ideas apply to the probability function of the number of claims in a particular Sparre Andersen model.

Date: 2019
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