On the Ruin Probability Under a Class of Risk Processes1

Wang Rongming and Liu Haifeng

ASTIN Bulletin, 2002, vol. 32, issue 1, 81-90

Abstract: In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the finite time ruin probability is well given when the claim amount distribution is a mixed exponential. As its consequence, a well-known result about ultimate ruin probability in the classical risk model is obtained.

Date: 2002
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