Further Results for the Joint Distribution of the Surplus Immediately Before and After Ruin Under Force of Interest
This article studies the joint distribution of the surplus immediately before ruin and the deficit at ruin under constant force of interest. A Laplace transformation technique has been used to establish an explicit expression for the joint distribution function with zero initial reserve. Numerical computation using this alternative expression is quick and easy in the case of exponential, gamma, and Pareto claim sizes. Moreover, a numerical method has been developed to efficiently approximate the joint distribution in case of nonzero initial reserve.
AMS Subject Classification62P05 62E17 44A10
Key-wordsCompound Poisson model Laplace transformation Ruin probability Surplus process
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