The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model

DOI10.1239/jap/1189717539zbMath1132.60061OpenAlexW2094201136MaRDI QIDQ5440643

Konstadinos Politis, Susan M. Pitts

Publication date: 5 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1189717539

zbMATH Keywords

phase-type distributionsubexponential distributiondeficit at ruinsurplus prior to ruinSparre Andersen modelladder heightWiener-Hopf factors

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items

A note on deficit analysis in dependency models involving Coxian claim amounts ⋮ On the expected discounted penalty function for risk process with tax ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ A generalized penalty function in the Sparre Andersen risk model with two-sided jumps ⋮ The Gerber-Shiu discounted penalty function in the risk process with phase-type interclaim times

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