Frostig, Esther; Pitts, Susan M.; Politis, Konstadinos - In: Insurance: Mathematics and Economics 51 (2012) 1, pp. 19-25
We consider a renewal risk model with phase-type claims, and obtain an explicit expression for the joint transform of the time to ruin and the number of claims until ruin, with a penalty function applied to the deficit at ruin. The approach is via the duality between a risk model with phase-type...
