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On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes

โœ Scribed by Lijuan Sun; Hailiang Yang


Book ID
108153030
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
64 KB
Volume
34
Category
Article
ISSN
0167-6687

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The joint distribution of the time of ru
โœ Hans U. Gerber; Elias S.W. Shiu ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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