On the first crossing of the surplus process with a given upper barrier (Q1333591)

Let the risk process \(\{S_ t\), \(t\in\mathbb{R}_ +\}\) be a compound Poisson one: \(S_ t= W_ 1+\dots +W_{Nt}\), \(t>0\), where \(W_ i\) represents the claim amounts and \(\{N_ t\), \(t\in \mathbb{R}_ +\}\) is a homogeneous Poisson process with parameter \(\lambda\) \((>0)\) representing the total claims amount in \([0,t]\). Then the surplus process \(\{S_ t\), \(t\in \mathbb{R}_ +\}\) is modelled so that the surplus at time \(t\) is given by: \(S_ t= R_ 0+ ct- S_ t\), \(t>0\), where \(R_ 0\) is the initial surplus and \(c\) is the constant rate of income, with \(c> \lambda E(W_ 1)\). The variables \(W_ 1, W_ 2,\dots, W_{Nt}\) are supposed i.i.d., independent of \(\{N_ t\), \(t\in\mathbb{R}_ +\}\) and arithmetically distributed on \(\mathbb{N}^*\) with probability distribution \(\{q_ i\), \(i\in \mathbb{N}^*\}\). In this model an upper barrier for the reserve is introduced by means of a given real function \(h\) with a positive jump at any value of discontinuity and \(h(0)> R_ 0\). The aim of the paper is to investigate the time \(T\) of the first crossing between the surplus process and the considered barrier. It is observed that such time can also be seen as the time of the first crossing between a compound Poisson trajectory and a lower barrier, where \(N\) is the level of this crossing. At the beginning the case where all claim amounts are equal to one is studied and, if \(-u_ n= \inf\{t>0\), \(R_ 0+ ct- h(t)= n\}\), the probability \(P(T=- u_ n) [=P(N=n)]\) is given by means of a family of Abel-Gontcharoff polynomials. Successively the general case is treated and the probabilities related to \(T\) are expressed using a family of polynomials obtained by the extension of Abel-Gontcharoff polynomials.