A note on deficit analysis in dependency models involving Coxian claim amounts

David Landriault, Wing Yan Lee, Gordon E. Willmot and Jae-Kyung Woo

Scandinavian Actuarial Journal, 2014, vol. 2014, issue 5, 405-423

Abstract: In this paper, we consider a fairly large class of dependent Sparre Andersen risk models where the claim sizes belong to the class of Coxian distributions. We analyze the Gerber–Shiu discounted penalty function when the penalty function depends on the deficit at ruin. We show that the system of equations needed to solve for this quantity is surprisingly simple. Various applications of this result are also considered.

Date: 2014
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DOI: 10.1080/03461238.2012.723044

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