RUIN PROBLEMS AND DUAL EVENTS

Authors
DICKSON DCM DOSREIS AE
Citation
Dcm. Dickson et Ae. Dosreis, RUIN PROBLEMS AND DUAL EVENTS, Insurance. Mathematics & economics, 14(1), 1994, pp. 51-60
Citations number
7
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
14
Issue
1
Year of publication
1994
Pages
51 - 60
Database
ISI
SICI code
0167-6687(1994)14:1<51:RPADE>2.0.ZU;2-I
Abstract
Dickson (1992) uses dual events to explain results relating to the dis tribution of the surplus immediately prior to ruin in the classical su rplus process. In this paper we show that dual events can be used to e xplain other results in ruin theory. In particular we prove and explai n the relationship between the density of the surplus immediately prio r to ruin, and the joint density of the surplus immediately prior to r uin and the severity of ruin.