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Some results on the joint distribution prior to and at the time of ruin in the classical model

✍ Scribed by Psarrakos, Georgios


Book ID
118247825
Publisher
Taylor and Francis Group
Year
2010
Tongue
English
Weight
183 KB
Volume
2010
Category
Article
ISSN
0346-1238

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πŸ“œ SIMILAR VOLUMES


The joint distribution of the time of ru
✍ 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