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On the Distribution of the Deficit at Ruin when Claims are Phase-type

✍ Scribed by Drekic, Steve; Dickson *, David C. M.; Stanford †, David A.; Willmot ‡, Gordon E.


Book ID
111981618
Publisher
Taylor and Francis Group
Year
2004
Tongue
English
Weight
144 KB
Volume
2004
Category
Article
ISSN
0346-1238

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The joint distribution of the time of ru
✍ Hans U. Gerber; Elias S.W. Shiu 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 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