On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
Probability
2007-09-07 v1
Abstract
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. (2005) for such processes with Erlang inter-claim times. We illustrate our result in the cases of gamma and mixed exponential inter-claim time distributions.
Keywords
Cite
@article{arxiv.0709.0764,
title = {On the ruin time distribution for a Sparre Andersen process with exponential claim sizes},
author = {K. A. Borovkov and D. C. M. Dickson},
journal= {arXiv preprint arXiv:0709.0764},
year = {2007}
}
Comments
12 pages, 2 figures