A note on some joint distribution functions involving the time of ruin

作者：Dickson David C M^*

来源：Insurance: Mathematics and Economics , 2016, 67: 120-124.

DOI：10.1016/j.insmatheco.2015.12.005

• Time of ruin
• Deficit at ruin
• Surplus prior to ruin
• Joint distribution function
• MAP risk model

In a recent paper, Willmot (2015) derived an expression for the joint distribution function of the time of ruin and the deficit at ruin in the classical risk model. We show how his approach can be applied to obtain a simpler expression, and by interpreting this expression by probabilistic reasoning we obtain solutions for more general risk models. We also discuss how some of Willmot's results relate to existing literature on the probability and severity of ruin.

• 出版日期2016-3