Ultimate Ruin Probability for Benktander Gibrat Risk Model
Jain K., Kapoor H.S.
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In actuarial science and finance, the derivation of ultimate ruin probability for various loss distributions is of key interest. There are many methods available in literature for evaluating ultimate ruin probability for different distributions. Probability of ultimate ruin is derived for a risk model under Benktander Gibrat (BG) distribution, also known as Benktander Type I distribution. Laplace transform, generalized exponential integrals, MeijerG function and Bromwich Integral are used to find ultimate ruin probability. © 2022, The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.
Springer Proceedings in Mathematics and Statistics