Martingales and the distribution of the time to ruin. (Q2574588)

The author considers the classical risk model, where claims arrive according to a renewal process, with waiting times that are of phase-type, while the claims themselves follow a distribution with a Laplace transform that is a rational function. Using martingales, the optional sampling theorem and the theory of piecewise Markov process, he determines both the ultimate ruin probability and the Laplace transform of the distribution of the time to ruin.