Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076518 | Insurance: Mathematics and Economics | 2015 | 8 Pages |
Abstract
In this paper we generalize a partial integrodifferential equation satisfied by the finite time ruin probability in the classical Poisson risk model. The generalization also includes the bivariate distribution function of the time of and the deficit at ruin. We solve the partial integrodifferential equation by Laplace transforms with the help of Lagrange's implicit function theorem. The assumption of mixed Erlang claim sizes is then shown to result in tractable computational formulas for the finite time ruin probability as well as the bivariate distribution function of the time of and the deficit at ruin. A more general partial integrodifferential equation is then briefly considered.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Gordon E. Willmot,