Ruin probabilities for a risk model with two classes of claims (Q606333): Difference between revisions

The paper discusses a ruin model with two types of insurance claims. The first aggregate-claim process is an ordinary renewal process and the second aggregate-claim process is a homogeneous compound Poisson process. All interclaim times and claim sizes are independent of each other. The main result in the article is an upper bound of the ultimate ruin probability \(\psi(u)\) for a company that is operating with an initial surplus of \(u\geq0.\) This upper bound may be interpreted as the analogue of the classical result \[ \psi(u)\leq e^{-Ru},\quad u\geq0, \] provided by equation (71) in Cramér (1955), where \(R>0\) is the associated adjustment coefficient. The authors attempt to provide sufficient mathematical detail. Although the paper is well structured, it lacks somewhat motivation of the choice of a model and interpretation of the results.