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.
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| 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 |
|---|---|
| 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: | 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) |
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