Cossette, Hélène; Landriault, David; Marceau, Etienne; … - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 393-401
Within the Sparre Andersen risk model, the ruin probability corresponds to the survival function of the maximal aggregate loss. It is well known that the maximum aggregate loss follows a compound geometric distribution, in which the summands consist of the ascending ladder heights. In the...