Author(s)

Joseph Justin Rebello¹, K. K. Thampi²

¹Department of Statistics, AC, Mahatma Gandhi University, Kerala, India.
²Department of Statistics, SNMC, Mahatma Gandhi University, Kerala, India.

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.

Two Sided Jumps, Renewal Risk Process, Random Gain, Lindley Distribution, Erlangian Distribution

Rebello, J. and Thampi, K. (2017) The Distribution of the Time of Ruin, the Surplus Immediately before Ruin and Deficit at Ruin under Two Sided Risk Renewal Process. Journal of Mathematical Finance, 7, 624-632. doi: 10.4236/jmf.2017.73032.