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

par Badescu, Andrei;Drekic, Steve;Breuer, Lothar;Latouche, Guy ;Stanford, David D.A.
Référence Scandinavian actuarial journal, 2005, 6, page (433-445)
Publication Publié, 2005-11

Article révisé par les pairs

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Résumé :

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. © 2005 Taylor & Francis Group, LLC.