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On the Probability of (Non-) Ruin in Infinite Time

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  • Philippe Picard
  • Claude Lefèvre

Abstract

In the context of the classical Poisson ruin model Gerber (1988a,b) and Shiu (1987, 1989) have obtained two formulae for the ruin and non ruin probabilities in infinite time. Here these two formulae are generalized to the case of an arbitrary premium process when all claims are integer-valued, as in Picard & Lefèvre (1997). Moreover, this generalization throws a new light on the two known formulae and it then leads very simply to a third new formula.

Suggested Citation

  • Philippe Picard & Claude Lefèvre, 2001. "On the Probability of (Non-) Ruin in Infinite Time," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2001(2), pages 148-161.
    • Handle: RePEc:taf:sactxx:v:2001:y:2001:i:2:p:148-161
    DOI: 10.1080/03461230152592782
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