The probability and severity of ruin for combinations of exponential claim amount distributions and their translations (Q1098534)

In the classical compound Poisson model of the collective risk theory let \(\psi\) (u,y) denote the probability that ruin occurs and that the negative surplus at the time of ruin is less than -y. It is shown how this function, which also measures the severity of ruin, can be calculated if the claim amount distribution is a translation of a combination of exponential distributions. Furthermore, these results can be applied to a certain discrete time model.