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Scale Functions and Ruin Probabilities

  • Andreas E. Kyprianou
Part of the EAA Series book series (EAAS)

Abstract

The two main results from the previous chapters concerning the law of the maximum and minimum of the Cramér–Lundberg process can now be put to use in order to establish our first results concerning the classical ruin problem. We introduce the so-called scale functions, which will prove to be indispensable, both in this chapter and later, when describing various distributional features of the ruin problem.

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Copyright information

© Springer International Publishing Switzerland 2013

Authors and Affiliations

  • Andreas E. Kyprianou
    • 1
  1. 1.Department of Mathematical SciencesUniversity of BathBathUnited Kingdom

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