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

K. A. Borovkov; D. C. M. Dickson

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arXiv · 0709.0764

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

K. A. Borovkov·D. C. M. Dickson

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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.

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BibTeX RIS

K. A. Borovkov, D. C. M. Dickson. 2007-09-06. On the ruin time distribution for a Sparre Andersen process with exponential claim sizes. https://arxiv.org/abs/0709.0764

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