TITLE:
The Distribution of the Time of Ruin, the Surplus Immediately before Ruin and Deficit at Ruin under Two Sided Risk Renewal Process
AUTHORS:
Joseph Justin Rebello, K. K. Thampi
KEYWORDS:
Two Sided Jumps, Renewal Risk Process, Random Gain, Lindley Distribution, Erlangian Distribution
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.7 No.3,
July
17,
2017
ABSTRACT: In the renewal risk theory, the study of two sided jumps has been attracted by many researchers since its introduction. After the development of the distribution of modified inter time claim occurrence, the explicit expressions for ruin theory components in the literature under some assumptions, in this work, we examine probability density of the time of ruin, surplus immediately before ruin and deficit at ruin respectively under two sided risk process using some basic assumptions. Explicit expressions for distribution of interest are being derived.