Direct Derivation of Finite-Time Ruin Probabilities in the Discrete Risk Model with Exponential or Geometric Claims

Wai-Sum Chan and Lianzeng Zhang

North American Actuarial Journal, 2006, vol. 10, issue 4, 269-279

Abstract: Growing research interest has been shown in finite-time ruin probabilities for discrete risk processes, even though the literature is not as extensive as for continuous-time models. The general approach is through the so-called Gerber-Shiu discounted penalty function, obtained for large families of claim severities and discrete risk models. This paper proposes another approach to deriving recursive and explicit formulas for finite-time ruin probabilities with exponential or geometric claim severities. The proposed method, as compared to the general Gerber-Shiu approach, is able to provide simpler derivation and straightforward expressions for these two special families of claims.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.2006.10597426 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:10:y:2006:i:4:p:269-279

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.2006.10597426

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().