An insensitivity property of the ruin probability
- 1 July 1985
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1985 (3-4) , 148-156
- https://doi.org/10.1080/03461238.1985.10413787
Abstract
We give an expression for Ψ(0), i.e., the ruin probability for an insurance business with no initial risk reserve, when the location of the claims is described by a general stationary point process.Keywords
This publication has 1 reference indexed in Scilit:
- Stationarity aspects of the sparre andersen risk process and the corresponding ruin probabilitlesScandinavian Actuarial Journal, 1975