The Distribution of Deficit at Ruin on a Renewal Risk Model

In this chapter, we consider the probability and severity of ruin for a renewal class of risk process in which the claim inter occurrence times is Generalized Exponential. We have obtained closed form expression for the distribution of the deficit at ruin. We illustrate the application of this resul...

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Bibliographic Details
Published inModeling, Computation And Optimization pp. 191 - 204
Main Authors Thampi, K. K., Jacob, M. J.
Format Book Chapter
LanguageEnglish
Published WORLD SCIENTIFIC 01.04.2009
Subjects
probability of ruin
severity of ruin
Laplace transform
Renewal process
generalized exponential distribution
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ISBN9789814467896
9814273511
9789814273503
9814467898
9789814273510
9814273503
DOI10.1142/9789814273510_0012

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Summary:In this chapter, we consider the probability and severity of ruin for a renewal class of risk process in which the claim inter occurrence times is Generalized Exponential. We have obtained closed form expression for the distribution of the deficit at ruin. We illustrate the application of this result with several examples.
ISBN:9789814467896
9814273511
9789814273503
9814467898
9789814273510
9814273503
DOI:10.1142/9789814273510_0012