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Title: A note on probability and severity of ruin for generalized Lindley claim size distribution
Other Titles: Nota sobre la probabilidad y severidad de ruina cuando la cantidad reclamada sigue la distribución generalizada Lindley
Authors: Gómez Déniz, Emilio 
Ghitany, M E
Al-Mutairi, D. K.
UNESCO Clasification: 1207 Investigación operativa
Keywords: Lindley
Issue Date: 2016
Journal: Anales Del Instituto De Actuarios Espanoles 
Abstract: It is well known that, in a classical continuous time surplus process with given insurer's initial surplus, closed-form expressions for the probability and severity of ruin (the probability that ruin occurs and that the insurer's deficit at the time of ruin is less than specified value), exist for few claim size distributions such as the exponential and mixed exponential distributions. This paper provides a closed-form expressions for the probability and severity of ruin in the case where the claim size follows the generalized Lindley distribution which contains as special cases the exponential and the Lindley distributions. An upper bound for the probability of ruin is obtained via Lundberg's inequality. Numerical applications are shown to illustrate the results.
ISSN: 0534-3232
Source: Anales del Instituto de Actuarios Españoles [ISSN 0534-3232], n. 22, p. 25-40
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