A note on ruin problems in perturbed classical risk models
Copyright policy )A note on ruin problems in perturbed classical risk models
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.
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- University of Lausanne Switzerland
- Nankai University China (People's Republic of)
- White Rose Consortium: University of Leeds; University of Sheffield; University of York United Kingdom
- University of Wrocław Poland
- University of Applied Sciences and Arts Western Switzerland Switzerland
Applications of renewal theory (reliability, demand theory, etc.), martingale, Probability (math.PR), number of claims until ruin, The Lundberg fundamental equation, Time to ruin, perturbed classical risk model, the Lundberg fundamental equation, Perturbed classical risk model, Martingale, Number of claims until ruin, Risk models (general), FOS: Mathematics, Joint density, time to ruin, Mathematics - Probability, joint density
Applications of renewal theory (reliability, demand theory, etc.), martingale, Probability (math.PR), number of claims until ruin, The Lundberg fundamental equation, Time to ruin, perturbed classical risk model, the Lundberg fundamental equation, Perturbed classical risk model, Martingale, Number of claims until ruin, Risk models (general), FOS: Mathematics, Joint density, time to ruin, Mathematics - Probability, joint density
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