A note on the ruin problem for a class of stochastic processes with interchangeable increments

Jan Grandell and Lars Peiram

ASTIN Bulletin, 1972, vol. 7, issue 1, 81-89

Abstract: Models for the risk business of an insurance company are often constructed by weighting pure Poisson models. In this paper it is verified that it is possible to calculate the probability of ruin in such weighted models by weighting ruin probabilities of pure Poisson models.

Date: 1972
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