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Distribution of Deficit at Ruin for a PDMP Insurance Risk Model |
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| Authors: | |
| Institution: | (1) Department of Mathematics, Suzhou University, Suzhou, 215006, China;(2) Department of Mathematics, Changshu College, Changshu, 215500, China;(3) Department of Mathematics, Nankai University, Tianjin, 300071, China |
| Abstract: | In this paper we consider the risk process described by a piecewise deterministic Markov processes (PDMP). We; mainly discuss the distribution of the deficit at ruin for the risk process. We derive the integro-differential equation satisfied by this distribution. We obtain the explicit expressions for it, for certain choices of the claim amount distribution. |
| Keywords: | Integro-differential equation risk process deficit at ruin survivor function |
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