The probability of ruin in finite time with discrete claim size distribution

Citation
P. Picard, et C. Lefèvre,, The probability of ruin in finite time with discrete claim size distribution, Scandinavian actuarial journal , 1997(1), 1997, pp. 58-69
ISSN journal
03461238
Volume
1997
Issue
1
Year of publication
1997
Pages
58 - 69
Database
ACNP
SICI code
Abstract
The ruin time T is considered as the time of first crossing between a compound Poisson trajectory and an upper increasing boundary. Under the assumption that the claim sizes are integer-valued, we show that the distribution of T can be expressed in terms of generalized Appell polynomials. Using the algebraic properties of these polynomials elegant expressions are obtained for P(T > x).