Ruin probabilities expressed in terms of ladder height distributions
- 1 October 1974
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1974 (4) , 190-204
- https://doi.org/10.1080/03461238.1974.10408681
Abstract
During the latest few years much attention has been given to the study of the ruin problem of a risk business when the epochs of claims form a renewal process. The study of this problem was initiated by E. S. Andersen (1957). Thorin has then in a series of papers (Thorin, 1970, 1971a, 1971b) shown that the Wiener-Hopf technique, originally developed by Cramer (1955) in the case of a Poisson process, can be used in this more general case, and Takacs (1970) has derived results similar to those of Thorin by an entirely new technique.Keywords
This publication has 2 references indexed in Scilit:
- Two theorems inr-dimensional renewal theoryProbability Theory and Related Fields, 1968
- Boundary Value Problems for Some Two-Dimensional Random WalksTheory of Probability and Its Applications, 1964