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The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model. (English) Zbl 1237.91125
Summary: We use probabilistic arguments to derive an expression for the joint density of the time to ruin and the number of claims until ruin in the classical risk model. From this we obtain a general expression for the probability function of the number of claims until ruin. We also consider the moments of the number of claims until ruin and illustrate our results in the case of exponentially distributed individual claims. Finally, we briefly discuss joint distributions involving the surplus prior to ruin and deficit at ruin.

91B30 Risk theory, insurance (MSC2010)
Full Text: DOI
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