Badescu, A. and Breuer, Lothar and Drekic, S. and Latouche, G. (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.
|The full text of this publication is not available from this repository. (Contact us about this Publication)|
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.
|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|
|Divisions:||Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science|
|Depositing User:||Lothar Breuer|
|Date Deposited:||02 Apr 2009 22:01|
|Last Modified:||01 Aug 2012 08:14|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/12994 (The current URI for this page, for reference purposes)|
- Depositors only (login required):