The probability density function of the time of ruin in the classical model with exponential claim sizes is obtained directly by inversion of the associated Laplace transform.

We consider a single-server queueing system with Poisson arrivals and generally distributed service times. To systematically control the workload of the queue, we define for each busy period an associated timer process, {R(t), t ≥ 0}, where R(t) represents the time remaining before the system...