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Ruin Probabilities under Generalized Exponential Distribution
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K. K. Thampi
Published/Copyright:
May 1, 2007
We consider a renewal risk model in which the claim inter-arrival distribution is generalized exponential (GE). We obtain the probability distribution for the ladder height distribution and use it to find the bounds for the ultimate ruin probabilities for individual claim amount distributions. The method suggested by Dufresne and Gerber (1989) is used for finding the bounds for ruin probabilities.
Keywords: renewal risk process; generalized exponential distribution; ladder height distribution; ruin probabilities.
Published Online: 2007-5-1
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Keywords for this article
renewal risk process;
generalized exponential distribution;
ladder height distribution;
ruin probabilities.
Articles in the same Issue
- Featured Article
- Assessing Adverse Selection in Crop Insurance Markets: An Application of Parametric and Nonparametric Methods
- Ruin Probabilities under Generalized Exponential Distribution
- Applying Data Mining Technology for Insurance Rate Making: An Example of Automobile Insurance
- Managing Viagers Securitization and Life Extension Risk
- Financial Instability and Life Insurance Demand
- Asia-Pacific Country Analysis: Global Developments in Takaful (Islamic) Insurance
