Distribution of Deficit at Ruin for a PDMP Insurance Risk Model
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In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We mainly discuss the distribution of the deficit at ruin for the risk process. We derive the integrodi differential equation satisfied by this distribution. We obtain the explicit expressions for it for certain choices of the claim amount distribution.
KeywordsIntegro-differential equation risk process deficit at ruin survivor function
2000 MR Subject Classification62P06 60J25
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