The deficit at ruin in the stationary renewal risk model

Gordon Willmot

Scandinavian Actuarial Journal, 2004, vol. 2004, issue 4, 241-255

Abstract: 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. When the individual claims have a phase-type distribution, the deficit at ruin is also of phase-type.

Date: 2004
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DOI: 10.1080/03461230310016974

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