Compound geometric residual lifetime distributions and the deficit at ruin

Abstract

Some reliability based properties of compound geometric distributions are derived using an approach motivated by the analysis of the deficit at ruin in a renewal risk theoretic setting. Implications for generalizing the result of Cai and Kalashnikov [J. Appl. Prob. 37 (2000) 283–289] are discussed. Subsequently, analysis of the distribution of the deficit itself in the renewal risk setting is considered. The regenerative nature of the ruin problem in the renewal risk model is exploited to study exact and approximate properties of the deficit at ruin (given that ruin occurs). Central to the discussion are the compound geometric components of the maximal aggregate loss. The proper distribution of the deficit, given that ruin occurs, is a mixture of residual ladder height distributions, from which various exact relationships and bounds follow. The asymptotic (in the initial surplus) distribution of the deficit is also considered. Stronger results are obtained with additional assumptions about the interclaim time or claim size distribution.