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
✦ LIBER ✦
On asymptotics of deficit distribution and its moments at the time of ruin
✍ Scribed by A. Aleškevičienė
- Publisher
- Springer
- Year
- 2010
- Tongue
- English
- Weight
- 167 KB
- Volume
- 50
- Category
- Article
- ISSN
- 0363-1672
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