RUIN PROBABILITY ON A FINITE TIME HORIZON (Prawdopodobienstwo ruiny

• Authors: Michna Zbigniew
• 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.

Keywords

EN

CLASSICAL RISK PROCESS; CRAMER’S FORMULA; FINITE TIME RUIN PROBABILITY; GAMMA PROCESS; SEAL’S FORMULA

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
• Journal: Mathematical Economics
• Year: 2010
• Issue: 6(13)
• Pages: 65-74
• Document type: ARTICLE

Contributors

author

Michna Zbigniew

• Zbigniew Michna, Wroclaw University of Economics, Department of Mathematics , Komandorska Street 118/120, 53-345 Wroclaw, Poland

Identifiers

CEJSH db identifier

11PLAAAA10779