When does surplus reach a certain level before ruin? [An article from: Insurance Mathematics and Economics]

This digital document is a journal article from Insurance Mathematics and Economics, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Laplace transform of the first passage time across a given level before ruin is investigated for the surplus process in a perturbed risk model. Such a result is used to obtain the joint distribution of the maximal surplus before ruin, the surplus immediately before ruin and the deficit at ruin, associated with the ruin time. It also allows us to study the similar joint distribution for a risk model with a two-step premium rate.