{"title":"Ruin Probabilities under Generalized Exponential Distribution","authors":"K. Thampi, M. J. Jacob, N. Raju","doi":"10.2202/2153-3792.1013","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":244368,"journal":{"name":"Asia-Pacific Journal of Risk and Insurance","volume":"2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2007-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Journal of Risk and Insurance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2202/2153-3792.1013","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
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.
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