A note on probability and severity of ruin for Generalized Lindley claim size distribution

A note on probability and severity of ruin for Generalized Lindley claim size distribution Nota sobre la probabilidad y severidad de ruina cuando la cantidad reclamada sigue la distribución generalizada Lindley Emilio Gómez–Déniz, M. E. Ghitany, D. K. Al–Mutairi   Abstract It is well known that, in a classical continuous time surplus process with given insurer’s initial surplus, closed-form expressions for the probability and severity of ruin (the probability that ruin occurs and...