On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
نویسندگان
چکیده
We derive a closed-form (infinite series) representation for the distribution of the ruin time for the Sparre Andersen model with exponentially distributed claims. This extends a recent result of Dickson et al. [7] for such processes with Erlang inter-claim times. We illustrate our result in the cases of gamma and mixed exponential inter-claim time distributions.
منابع مشابه
Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models
Available online xxxx Keywords: Defective renewal equation Compound geometric distribution Ladder height Lundberg's fundamental equation Generalized adjustment coefficient Cramer's asymptotic ruin formula Esscher transform Last interclaim time NWU NBU a b s t r a c t The structure of various Gerber–Shiu functions in Sparre Andersen models allowing for possible dependence between claim sizes and...
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تاریخ انتشار 2007