The surplus prior to ruin and the deficit at ruin for a correlated risk process

Badescu, Andrei, Breuer, Lothar, Drekic, Steve, Latouche, Guy (2005) The surplus prior to ruin and the deficit at ruin for a correlated risk process. Scandinavian Actuarial Journal, 2005 (6). pp. 433-445. ISSN 1651-2030. (doi:10.1080/03461230510009835) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:12994)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL: http://dx.doi.org/10.1080/03461230510009835

Abstract

This paper presents an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre-Andersen risk model with phase-type inter-claim times and claim sizes. The model can also accommodate a Markovian arrival process which enables claim sizes to be correlated with the inter-claim times. The marginal density function of the surplus immediately prior to ruin is specifically considered. Several numerical examples are presented to illustrate the application of this result.

Item Type:	Article
DOI/Identification number:	10.1080/03461230510009835
Additional information:	ISSN: 1651-2030 (electronic) 0346-1238 (paper)
Uncontrolled keywords:	Surplus immediately prior to ruin; Deficit at ruin; Sparre-Andersen risk model; Phase-type distribution; Markovian arrival process; Correlated claims; Fluid queues; Matrix analytic methods
Subjects:	Q Science
Divisions:	Divisions > Division of Computing, Engineering and Mathematical Sciences > School of Mathematics, Statistics and Actuarial Science
Depositing User:	Lothar Breuer
Date Deposited:	02 Apr 2009 22:01 UTC
Last Modified:	16 Nov 2021 09:50 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/12994 (The current URI for this page, for reference purposes)

University of Kent Author Information

Breuer, Lothar.

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