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The surplus prior to ruin and the deficit at ruin for a correlated risk process. (English) Zbl 1143.91025
The authors obtain an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre Andersen risk model with phase-type inter-claim times and claim sizes. It is allowed for correlation in the inter-claim times, as well as correlation between the claim times and the claim sizes. The authors consider the processes that can be analyzed using techniques for fluid queues.

MSC:
91B30 Risk theory, insurance (MSC2010)
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