A note on ruin problems in perturbed classical risk models
Probability
2016-08-22 v1
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
Cite
@article{arxiv.1608.05514,
title = {A note on ruin problems in perturbed classical risk models},
author = {Peng Liu and Chunsheng Zhang and Lanpeng Ji},
journal= {arXiv preprint arXiv:1608.05514},
year = {2016}
}
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