an:02246937
Zbl 1083.62547
Yang, Hailiang; Zhang, Lihong
The joint distribution of surplus immediately before ruin and the deficit at ruin under interest force
EN
N. Am. Actuar. J. 5, No. 3, 92-103 (2001).
00122468
2001
j
62P05 62E15 91B30
Summary: We consider a compound Poisson risk model with a constant interest force. We investigate the joint distribution of the surplus immediately before and after ruin. By adapting the techniques of \textit{B. Sundt} and \textit{J. L. Teugels} [Insur. Math. Econ. 16, 7--22 (1995; Zbl 0838.62098)], we obtain integral equations satisfied by the joint distribution function and a Lundberg-type inequality. In the case of zero initial reserve and the case of exponential claim sizes, we obtain explicit expressions for the joint distribution function.
Zbl 0838.62098