Report
The deficit at ruin in the stationary renewal risk model
Gordon Willmot
Scandinavian Actuarial Journal | Taylor & Francis | Published : 2004
Abstract
Properties of the distribution of the deficit at ruin in the stationary renewal risk model are studied. A mixture representation for the conditional distribution of the deficit at ruin (given that ruin occurs) is derived, as well as a stochastic decomposition involving the residual lifetime associated with the maximal aggregate loss. When the individual claims have a phase-type distribution, the deficit at ruin is also of phase-type.