The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models

Insurance: Mathematics and Economics

Volumn 34, Issue 1, 2004, Pages 97-107

  Dickson, David C M ^a   Drekic, Steve ^b  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Joint density function; Ruin; Sparre Andersen risk model

Indexed keywords

EID: 0842303739     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2003.11.003     Document Type: Article

References (13)

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13. Willmot G.E. Lin X. Exact and approximate properties of the distribution of the surplus before ruin Insurance: Mathematics and Economics 23 1998 91-110