Abstract
In this paper we consider a compound Poisson risk model with a constant interest force. We
investigate the joint distribution of the surplus immediately before and after ruin. By adapting the
techniques in Sundt and Teugels (1995), we obtain integral equations satisfied by the joint
distribution function and a Lundberg-type inequality. In the case of zero initial reserve and the case
of exponential claim sizes, we obtain explicit expressions for the joint distribution function.
investigate the joint distribution of the surplus immediately before and after ruin. By adapting the
techniques in Sundt and Teugels (1995), we obtain integral equations satisfied by the joint
distribution function and a Lundberg-type inequality. In the case of zero initial reserve and the case
of exponential claim sizes, we obtain explicit expressions for the joint distribution function.
| Original language | English |
|---|---|
| Pages (from-to) | 92-103 |
| Journal | North American Actuarial Journal |
| Volume | 5 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2001 |
| Externally published | Yes |