11. Continuous-Time Ruin Models

  1. Stuart A. Klugman1,
  2. Harry H. Panjer2 and
  3. Gordon E. Willmot2

Published Online: 30 JAN 2012

DOI: 10.1002/9780470391341.ch11

Loss Models: From Data to Decisions, Third Edition

Loss Models: From Data to Decisions, Third Edition

How to Cite

Klugman, S. A., Panjer, H. H. and Willmot, G. E. (2008) Continuous-Time Ruin Models, in Loss Models: From Data to Decisions, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470391341.ch11

Author Information

  1. 1

    Drake University

  2. 2

    University of Waterloo

Publication History

  1. Published Online: 30 JAN 2012
  2. Published Print: 21 SEP 2008

ISBN Information

Print ISBN: 9780470187814

Online ISBN: 9780470391341

SEARCH

Keywords:

  • continuous–time ruin models;
  • Poisson process;
  • adjustment coefficient;
  • Lundberg's inequality;
  • Brownian motion risk process

Summary

This chapter contains sections titled:

  • Introduction

  • The Adjustment Coefficient and Lundberg's Inequality

  • An Integrodifferential Equation

  • The Maximum Aggregate Loss

  • Cramer's Asymptotic Ruin Formula and Tijms' Approximation

  • The Brownian Motion Risk Process

  • Brownian Motion and the Probability of Ruin