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Moments of the Time of Ruin, Surplus Before Ruin and the Deficit at Ruin in the Erlang(N) Risk Process

✍ Scribed by Yong-sheng Xing; Rong Wu

Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2006
Tongue
English
Weight
162 KB
Volume
22
Category
Article
ISSN
0168-9673

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The joint distribution of the time of ru
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
✍ Hans U. Gerber; Elias S.W. Shiu πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 366 KB

We examine the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transform, which can naturally be interpreted as discounting. We show that, as a function of the initial surplus, the joint densit