On the ruin time distribution for a Sparre Andersen process with exponential claim sizes

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. [7] for such processes with Erlang inter-claim times. We illustrate our result in the cases of gamma and mixed exponential inter-claim time… (More)

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Cite this paper

@inproceedings{Borovkov2007OnTR, title={On the ruin time distribution for a Sparre Andersen process with exponential claim sizes}, author={Konstantin Borovkov and David Dickson}, year={2007} }