A note on ruin problems in perturbed classical risk models

DOI10.1016/J.SPL.2016.09.013MaRDI QIDQ342741zbMATH OpenOpenAlexWikidataFDO

Authors Lanpeng Ji, Peng Liu, Chunsheng Zhang

Publication date 18 November 2016

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.05514

zbMATH Keywords

martingalejoint densitynumber of claims until ruinperturbed classical risk modelthe Lundberg fundamental equationtime to ruin

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

Abstract: In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.

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Cites work

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Cited in

(5)

• On an insurance ruin model with a causal dependence structure and perturbation
• On the distribution of classic and some exotic ruin times
• A note on the net profit condition for discrete and classical risk models
• The expected discounted penalty function: from infinite time to finite time
• Strong stability in a two-dimensional classical risk model with independent claims

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