Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin

David C.M. Dickson

ASTIN Bulletin, 2008, vol. 38, issue 1, 259-276

Abstract: Using probabilistic arguments we obtain an integral expression for the joint density of the time of ruin and the deficit at ruin. For the classical risk model, we obtain the bivariate Laplace transform of this joint density and invert it in the cases of individual claims distributed as Erlang(2) and as a mixture of two exponential distributions. As a consequence, we obtain explicit solutions for the density of the time of ruin.

Date: 2008
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