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

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  • Andrei Badescu
  • Lothar Breuer
  • Steve Drekic
  • Guy Latouche
  • David Stanford

Abstract

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.

Suggested Citation

  • Andrei Badescu & Lothar Breuer & Steve Drekic & Guy Latouche & David Stanford, 2005. "The surplus prior to ruin and the deficit at ruin for a correlated risk process," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2005(6), pages 433-445.
    • Handle: RePEc:taf:sactxx:v:2005:y:2005:i:6:p:433-445
    DOI: 10.1080/03461230510009835
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