论文信息 - On the Distribution of the Deficit at Ruin when Claims are Phase-type

On the Distribution of the Deficit at Ruin when Claims are Phase-type

We consider the distribution of the deficit at ruin in the Sparre Andersen renewal risk model given that ruin occurs. We show that if the individual claim amounts have a phase-type distribution, then there is a simple phase-type representation for the distribution of the deficit. We illustrate the application of this result with several examples.

Steve Drekic | Steve Drekic | David C. M. Dickson * | David A. Stanford † | Gordon E. Willmot ‡

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