Title of article :
Joint distributions of some actuarial random vectors containing the time of ruin
Author/Authors :
Wu، نويسنده , , Rong and Wang، نويسنده , , Guojing and Wei، نويسنده , , Li، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Pages :
15
From page :
147
To page :
161
Abstract :
In this paper, we introduce the renewal measure of the defective renewal sequence constituted by the zero points of the classical risk model U(t),t≥0. The density function of this renewal measure is derived. By this density function together with the strong Markov property of the surplus process, we obtain the explicit expressions for the ruin probability and the joint distributions of actuarial random vectors (T,U(T−),|U(T)|) and (T,U(T−),|U(T)|,sup0≤t<T U(t),supT≤t<L U(t),inf0≤t<L U(t)), where T represents the time of ruin and L the time of the surplus process leaving zero ultimately. Finally, a special case with the claim amount being exponentially distributed is considered.
Keywords :
Renewal measure , Joint distribution , Ruin probability , Sequence of zero points , Strong Markov property , Ultimately leaving-time
Journal title :
Insurance Mathematics and Economics
Serial Year :
2003
Journal title :
Insurance Mathematics and Economics
Record number :
1542640
Link To Document :
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