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Blätter der DGVFM

, Volume 7, Issue 2, pp 389–407 | Cite as

Über die Verteilung des Ruinzeitpunktes bei beschränkter Risikoreserve

  • Hanns Klinger
Article

Summary

In this paper a modified stochastic model for the risk process is studied. It corresponds to a random walk with independent increments and one absorbing and one reflecting barrier. The distribution of the time of absorption which is to be interpreted as time of ruin is investigated. The connections with the random walk with two absorbing barriers are shown and a limit theorem concerning the distribution of the time of ruin is proved.

The reflecting barrier corresponds to an upper bound for the values of the risk reserve and prevents it from increasing to infinity. The above model seems therefore more realistic to this extent than the usual assumptions in risk theory.

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Copyright information

© DAV/DGVFM 1965

Authors and Affiliations

  • Hanns Klinger
    • 1
  1. 1.Göttingen

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