A note on ruin problems in perturbed classical risk models

DOI10.1016/J.SPL.2016.09.013zbMATH Open1463.91033arXiv1608.05514OpenAlexW2964138422WikidataQ61308213 ScholiaQ61308213MaRDI QIDQ342741FDOQ342741

Authors: Lanpeng Ji, Peng Liu, Chunsheng Zhang 

Publication date: 18 November 2016

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

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.

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

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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)

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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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