The surplus prior to ruin and the deficit at ruin for a correlated risk process

Andrei Badescu, Lothar Breuer, Steve Drekic, Guy Latouche and David Stanford

Scandinavian Actuarial Journal, 2005, vol. 2005, issue 6, 433-445

Abstract: This paper presents an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre-Andersen risk model with phase-type inter-claim times and claim sizes. The model can also accommodate a Markovian arrival process which enables claim sizes to be correlated with the inter-claim times. The marginal density function of the surplus immediately prior to ruin is specifically considered. Several numerical examples are presented to illustrate the application of this result.

Date: 2005
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DOI: 10.1080/03461230510009835

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