On the Distribution of the Surplus Prior and at Ruin

Analysis of a Dividend Barrier Strategy for a Class of Markovian Risk Models

We consider a class of Markovian risk models in which the insurer collects premiums at rate c1 (c2) whenever the surplus level is below (above) a constant barrier level b. We derive the Laplace­Stieltjes transform (LST) of the distribution of the time to ruin as well as the LST (with respect to time) of the joint distribution of the time to ruin, the surplus prior to ruin, and the deficit at ru...

On The Moments Of The Time To Ruin Distribution When The Initial Reserve Is Large And Claim Amount Distribution Is Two Stage Hypo Exponential Distribution

In any classical risk model one of the important random variable is time to ruin. As time to ruin warns the management for possible adverse situations that may arise, the distribution of time to ruin place a vital role in the day to day transactions of the any insurance company. Moments of the distribution are also important as coefficient of skewness of the distribution is very important in ac...

Tail bounds for the joint distribution of the surplus prior to and at ruin

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

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 inte...

Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models

Available online xxxx Keywords: Defective renewal equation Compound geometric distribution Ladder height Lundberg's fundamental equation Generalized adjustment coefficient Cramer's asymptotic ruin formula Esscher transform Last interclaim time NWU NBU a b s t r a c t The structure of various Gerber–Shiu functions in Sparre Andersen models allowing for possible dependence between claim sizes and...