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On the time to ruin and the deficit at ruin in a risk model with double-sided jumps
- Source :
-
Statistics & Probability Letters . Nov2008, Vol. 78 Issue 16, p2692-2699. 8p. - Publication Year :
- 2008
-
Abstract
- Abstract: In this paper, we consider a jump diffusion risk model, which consists of a Brownian motion, phase type distributed positive claims and general negative claims. The distributions of the time to ruin and the deficit at ruin will be studied by using Rouché’s Theorem, martingale and matrix analysis. We derive an explicit joint Laplace transform for the time to ruin and the deficit at ruin, as well as the Laplace transform for the time to ruin. Furthermore, our results still hold even when positive claims are rationally distributed. [Copyright &y& Elsevier]
- Subjects :
- *SOLUTION (Chemistry)
*SOLID solutions
*PROPERTIES of matter
*SEMICONDUCTOR doping
Subjects
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 78
- Issue :
- 16
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 34742608
- Full Text :
- https://doi.org/10.1016/j.spl.2008.03.034