A note on ruin problems in perturbed classical risk models

Peng Liu, Chunsheng Zhang and Lanpeng Ji

Statistics & Probability Letters, 2017, vol. 120, issue C, 28-33

Abstract: 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.

Keywords: Perturbed classical risk model; Joint density; Time to ruin; Number of claims until ruin; The Lundberg fundamental equation; Martingale (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2016.09.013

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