Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
Probability
2020-07-21 v1
Abstract
In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis & Macheras [24], is applied to the ruin problem in order to compute the ruin probability and to find upper and lower bounds for it.
Keywords
Cite
@article{arxiv.2007.09266,
title = {Applications of a change of measures technique for compound mixed renewal processes to the ruin problem},
author = {Spyridon M. Tzaninis},
journal= {arXiv preprint arXiv:2007.09266},
year = {2020}
}
Comments
arXiv admin note: substantial text overlap with arXiv:2007.05289, arXiv:2007.09051