Number of claims and ruin time for a refracted risk process
Probability
2017-11-28 v2
Abstract
In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time. The proof is based on solving some integro-differential equations and employing the Lagrange's Expansion Theorem.
Keywords
Cite
@article{arxiv.1603.05791,
title = {Number of claims and ruin time for a refracted risk process},
author = {Yanhong Li and Zbigniew Palmowski and Chunming Zhao and Chunsheng Zhang},
journal= {arXiv preprint arXiv:1603.05791},
year = {2017}
}