Ruin theory

In actuarial science and applied probability, ruin theory (sometimes risk theory^[1] or collective risk theory) uses mathematical models to describe an insurer's vulnerability to insolvency/ruin. In such models key quantities of interest are the probability of ruin, distribution of surplus immediately prior to ruin and deficit at time of ruin.

^ Embrechts, P.; Klüppelberg, C.; Mikosch, T. (1997). "1 Risk Theory". Modelling Extremal Events. Stochastic Modelling and Applied Probability. Vol. 33. p. 21. doi:10.1007/978-3-642-33483-2_2. ISBN 978-3-540-60931-5.

[1] Embrechts, P.; Klüppelberg, C.; Mikosch, T. (1997). "1 Risk Theory". Modelling Extremal Events. Stochastic Modelling and Applied Probability. Vol. 33. p. 21. doi:10.1007/978-3-642-33483-2_2. ISBN 978-3-540-60931-5.

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