On the distribution of the deficit at ruin when claims are phase-type

Scandinavian Actuarial Journal

Volumn 2004, Issue 2, 2004, Pages 105-120

  Drekic, Steve ^a   Dickson, David C M ^a   Stanford, David A ^a   Willmot, Gordon E ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Coxian distribution; Deficit at ruin; Erlang distribution; Ladder height; Maximal aggregate loss; Phase type distribution; Renewal risk model; Sparre andersen model

Indexed keywords

EID: 0842295078     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461230110106471     Document Type: Article

References (15)

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