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: 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: A presentation of a mathematics/statistics based approach for determining credibility factors for possible use in group health insurance premium rate setting and experience refund setting. Includes supporting mathematical proofs of approach. Followed by discussions submitted by several people

Description: This paper presents a statistical and mathematical method to calculate Stop-Loss Premiums. It also includes a discussion of the paper. From Transactions of Society of Actuaries 1976, Vol. 28.

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

Description: This people provides a derivation of continuous and curtate inequalities of life contingent functions and shows how the proofs of the continuous inequalities are of an entirely different nature from the usual proofs for the curtate inequalities Followed by discussion papers submitted by several authors

Description: This paper explores the principles upon which experience-rated group insurance currently is based and discusses the question of whether or not these principles are sound. Followed by discussion papers submitted by several authors

Description: This paper shows how some moment inequalities of probability theory can be applied in three different areas of actuarial science - compound interest, life contingencies and risk theory. From Transactions of Society of Actuaries 1986, Vol. 38.

Description: This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. Two applications are presented, the first for valuing a European call option and the second for pricing derivative securities of multiple risky assets.