Description: This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The classical model is generalized by discounting with respect to the time of ruin. The authors show how to calculate an expected discounted penalty, which is due at ruin, and may depend on the deficit at ruin and the surplus immediately before ruin.

Description: This paper considers the distribution of aggregate claims of an insurer. The general form of the distribution is considered initially, and, after a few mild restrictions are imposed, it is characterized as being a compound distribution. Followed by one submitted discussion paper.

Description: In classical collective risk theory, the aggregate claims process is assumed to be compound Poisson. In this paper the authors examine a more general model for the aggregate claims process: processes with independent, stationary and non-negative increments. From Actuarial Research Clearing House 1991, VOL. 1.

Description: Presents some elementary and down-to-earth calculations for the optimal dividend strategy that maximizes the expectation of the discounted dividends until the possible ruin of a company.

Description: Traditional discounting is hazardous to corporate health unless, as this paper demonstrates, it is turned on its head and insurance managers adopt the methods of prudent bankers. From Transactions of Society of Actuaries 1987, Vol. 39.

Description: This paper is intended to acquaint actuaries with a simple and practical application of the ruin function technique in the determination of the C-2 mortality risk reserve needed for individual life insurance business. Followed by 2 discussion papers submitted

Description: In this paper, the calculation of life insurance functions taking an HIV+ life into consideration is examined. From Transactions of Society of Actuaries 1989, Vol. 41.

Description: This paper discusses the time value of ruin in a Sparre Anderson Model and presents multiple equations, including Lundberg's fundamental equation.

Description: Usual treatments of multiple-decrement theory are on a nonselect basis, with all rates of decrement depending only on attained age. This paper develops the theory on a select basis, carried out fully in the stochastic framework. The relationship between select periods in a multiple-decrement model and those of the associated single-decrement models is investigated. A discussion of the paper follows. From Transactions of Society of Actuaries 1991, Vol. 43.

Description: This paper presents a formula for calculating the expected rate of return on shareholders' equity when an insurance company raises capital by issuing subordinated indebtedness. The ROE formula is also applicable to the case of raising capital by issuing nonconvertible preferred shares. From Actuarial Research Clearing House 1991, VOL. 2 .