Correction note to “A multidimensional ruin problem and an associated notion of duality,” Stochastic Models, 32 (2016) 539–574

Abstract

The expression given in an earlier paper for the ladder height distribution is erroneous. After deriving the correct version, the expression for ruin probability is provided.

Keywords:

• Dual pair of stopping times
• insurance network
• ladder height distribution
• Skorokhod problem
• Spitzer–Pollaczek factorization

Acknowledgement

Thanks to a comment of a referee that led to suspecting an error in Ramasubramanian^[3].