The Distribution of the Time of Ruin, the Surplus Immediately before Ruin and Deficit at Ruin under Two Sided Risk Renewal Process

摘要

In the renewal risk theory, the study of two sided jumps has been attracted by many researchers since its introduction. After the development of the distribution of modified inter time claim occurrence, the explicit expressions for ruin theory components in the literature under some assumptions, in this work, we examine probability density of the time of ruin, surplus immediately before ruin and deficit at ruin respectively under two sided risk process using some basic assumptions. Explicit expressions for distribution of interest are being derived.