The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models

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    Author
    DICKSON, DCM; DREKIC, S
    Date
    2004
    Source Title
    Insurance: Mathematics and Economics
    University of Melbourne Author/s
    Dickson, David
    Affiliation
    Economics and Commerce: Centre for Actuarial Studies
    Metadata
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    Document Type
    Journal Article
    Citations
    DICKSON, D. C. M. & DREKIC, S. (2004). The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models. Insurance: Mathematics & Economics, 34 (1), pp.97-107. https://doi.org/10.1016/j.insmatheco.2003.11.003.
    Access Status
    Open Access
    URI
    http://hdl.handle.net/11343/33767
    DOI
    10.1016/j.insmatheco.2003.11.003
    Description

    ISBN 0734028970 Research paper no. 108
    Keywords
    Sparre Andersen risk model; density function; Erlang distribution; phase-type; claims; distribution functions

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