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

Simple item page
dc.creatorBorovkov, K. A.
dc.creatorDickson, D. C. M.
dc.date2007-09-06
dc.date.accessioned2026-07-07T08:27:52Z
dc.date.available2026-07-07T08:27:52Z
dc.descriptionWe 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.
dc.description12 pages, 2 figures
dc.identifierhttps://arxiv.org/abs/0709.0764
dc.identifierhttp://arxiv.org/abs/0709.0764
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/137420
dc.subjectProbability
dc.subject91B30; 60K10; 60G51
dc.titleOn the ruin time distribution for a Sparre Andersen process with exponential claim sizes
dc.typetext

Files

Collections

arXiv