BARRIER PROBABILITIES AND MAXIMUM SEVERITY OF RUIN FOR A RENEWAL RISK MODEL

K. K. Thampi (), M. J. Jacob and N. Raju
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K. K. Thampi: Department of Statistics, University of Calicut, Kerala-673635, India
M. J. Jacob: Department of Mathematics, National Institute of Technology, Calicut-673601, India
N. Raju: Department of Statistics, University of Calicut, Kerala-673635, India

International Journal of Theoretical and Applied Finance (IJTAF), 2007, vol. 10, issue 05, 837-846

Abstract: In this paper, we consider a renewal risk model with dividend barrier, in which the claim inter-occurrence times are generalized exponential. We obtain explicit expression for the probability of absorption by an upper barrier b, before ruin occurs when the claim amount distribution is either mixed exponential or Gamma. We apply these results to obtain the distribution of the maximum deficit at the time of ruin. We also consider the numerical evaluation of the barrier probability, B(u, b), and the probability of maximum severity in some specific cases.

Keywords: Generalized exponential distribution; ruin probability; upper barrier; maximum severity of ruin (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219024907004482

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