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Ruin Probabilities under Generalized Exponential Distribution

Author

Listed:
  • Thampi K. K.

    (University of Calicut, India)

  • Jacob M. J.

    (National Institute of Technology at Calicut, India)

  • Raju N.

    (University of Calicut, India)

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.

Suggested Citation

  • Thampi K. K. & Jacob M. J. & Raju N., 2007. "Ruin Probabilities under Generalized Exponential Distribution," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(1), pages 1-12, May.
  • Handle: RePEc:bpj:apjrin:v:2:y:2007:i:1:n:2
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    References listed on IDEAS

    as
    1. Tsai, Cary Chi-Liang & Sun, Li-juan, 2004. "On the discounted distribution functions for the Erlang(2) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 5-19, August.
    2. Dufresne, Fran├žois & Gerber, Hans U., 1989. "Three Methods to Calculate the Probability of Ruin," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 19(01), pages 71-90, April.
    3. Asmussen, Soren & Rolski, Tomasz, 1992. "Computational methods in risk theory: A matrix-algorithmic approach," Insurance: Mathematics and Economics, Elsevier, vol. 10(4), pages 259-274, January.
    4. Sun, Li-Juan, 2005. "The expected discounted penalty at ruin in the Erlang (2) risk process," Statistics & Probability Letters, Elsevier, vol. 72(3), pages 205-217, May.
    5. Dickson, David C. M. & Hipp, Christian, 2001. "On the time to ruin for Erlang(2) risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 333-344, December.
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