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

Badescu, Andrei and Breuer, Lothar and Drekic, Steve and 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. (The full text of this publication is not available from this repository)

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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: 15 Apr 2014 14:14
Resource URI: http://kar.kent.ac.uk/id/eprint/12994 (The current URI for this page, for reference purposes)
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