caa a22 4500 38633269X CHVBK 20180307111720.0 cr unu---uuuuu 161130e198904 xx s 000 0 eng 10.2143/AST.19.1.2014916 doi S0515036100008369 pii (NATIONALLICENCE)cambridge-10.2143/AST.19.1.2014916 Three Methods to Calculate the Probability of Ruin [Elektronische Daten] The first method, essentially due to GOOVAERTS and DE VYLDER, uses the connection between the probability of ruin and the maximal aggregate loss random variable, and the fact that the latter has a compound geometric distribution. For the second method, the claim amount distribution is supposed to be a combination of exponential or translated exponential distributions. Then the probability of ruin can be calculated in a transparent fashion; the main problem is to determine the nontrivial roots of the equation that defines the adjustment coefficient. For the third method one observes that the probability, of ruin is related to the stationary distribution of a certain associated process. Thus it can be determined by a single simulation of the latter. For the second and third methods the assumption of only proper (positive) claims is not needed. Copyright © International Actuarial Association 1989 Probability of ruin nationallicence discretization nationallicence combination of exponentials nationallicence simulation nationallicence Dufresne François University of Lausanne, Switzerland Gerber Hans U. University of Lausanne, Switzerland ASTIN Bulletin Cambridge University Press 19/1(1989-04), 71-90 0515-0361 19:1<71 1989 19 ASB https://doi.org/10.2143/AST.19.1.2014916 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2143/AST.19.1.2014916 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Dufresne François University of Lausanne, Switzerland NATIONALLICENCE 700 1- Gerber Hans U. University of Lausanne, Switzerland NATIONALLICENCE 773 0- ASTIN Bulletin Cambridge University Press 19/1(1989-04), 71-90 0515-0361 19:1<71 1989 19 ASB CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence SWISSBIB 38633269X BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge