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2010 | 6(13) | 65-74
Article title

RUIN PROBABILITY ON A FINITE TIME HORIZON (Prawdopodobienstwo ruiny

Authors
Title variants
Languages of publication
EN
Abstracts
EN
In this article we investigate the classical risk process. We derive a formula for the ruin probability on a finite time horizon for zero initial capital that is Cramer's formula and for an arbitrary initial capital that is Seal's formula. Applying these formulas and the approximation of a gamma process by compound Poisson processes we obtain a formula for the supremum distribution of a gamma process with a linear drift.
Contributors
  • Zbigniew Michna, Wroclaw University of Economics, Department of Mathematics , Komandorska Street 118/120, 53-345 Wroclaw, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
11PLAAAA10779
YADDA identifier
bwmeta1.element.2fa3a92e-8fdb-329f-9637-733b141bdcaf
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