The deficit at ruin in the stationary renewal risk model
نویسندگان
چکیده
Properties of the distribution of the deficit at ruin in the stationary renewal risk model are studied. A mixture representation for the conditional distribution of the deficit at ruin (given that ruin occurs) is derived, as well as a stochastic decomposition involving the residual lifetime associated with the maximal aggregate loss. In the case where the individual claims have a phase-type distribution, the deficit at ruin is also of phase-type. Some examples are then given.
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