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

David C.M. Dickson

Insurance: Mathematics and Economics, 2016, vol. 67, issue C, 120-124

Abstract: 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.

Keywords: Time of ruin; Deficit at ruin; Surplus prior to ruin; Joint distribution function; MAP risk model (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:67:y:2016:i:c:p:120-124

DOI: 10.1016/j.insmatheco.2015.12.005

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