Ruin probabilities based at claim instants for some non-Poisson claim processes (Q1584520)

A recursive method of calculating ruin probability for non-Poisson claim processes is presented. The corresponding risk proces can be described as follows. The initial surplus is \(u\), and premiums are earned at a constant rate. The inter-claim revenues, the incomes received between successive claims, form a sequence of i.i.d. random variables with a common distribution \(A(x)\). Claim sizes are assumed to be non-negative i.i.d. random variables which a common distribution \(B(x)\). Numerical examples demonstrate the effects of the initial reserve ratio, relative security loading and the variability of the inter-claim revenue distribution on the probability of ruin.