On the Probability of (Non-) Ruin in Infinite Time

Philippe Picard and Claude Lefèvre

Scandinavian Actuarial Journal, 2001, vol. 2001, issue 2, 148-161

Abstract: In the context of the classical Poisson ruin model Gerber (1988a,b) and Shiu (1987, 1989) have obtained two formulae for the ruin and non ruin probabilities in infinite time. Here these two formulae are generalized to the case of an arbitrary premium process when all claims are integer-valued, as in Picard & Lefèvre (1997). Moreover, this generalization throws a new light on the two known formulae and it then leads very simply to a third new formula.

Date: 2001
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DOI: 10.1080/03461230152592782

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