The first exit time and ruin time for a risk process with reserve-dependent income

Sung Nok Chiu and Chuan Cun Yin

Statistics & Probability Letters, 2002, vol. 60, issue 4, 417-424

Abstract: This paper investigates the first exit time and the ruin time of a risk reserve process with reserve-dependent income under the assumption that the claims arrive as a Poisson process. We show that the Laplace transform of the distribution of the first exit time from an interval satisfies an integro-differential equation. The exact solution for the classical model and for the Embrechts-Schmidli model are derived.

Keywords: First; exit; time; Ruin; time; Ruin; probability; Risk; reserve; process; Embrechts-Schmidli; model (search for similar items in EconPapers)
Date: 2002
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