论文信息 - Further use of Shiu's approach to the evaluation of ultimate ruin probabilities

Further use of Shiu's approach to the evaluation of ultimate ruin probabilities

Abstract In a recent paper, Shiu derived a formula for the probability of ultimate ruin in the case of arithmetic claim sizes. This approach is extended to arbitrary claim size distributions, yielding series expansions for the ruin probabilities in the case of gamma (with arbitrary non-scale parameter) and continuous uniform claim sizes, among others. The results are also of use in a queueing context when interpreted in terms of the tail probabilities of the equilibrium M/G/1 waiting time distribution.

Gordon E. Willmot | G. Willmot

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