A note on ruin problems in perturbed classical risk models

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• 作者：Peng Liu^a ; ^b ; ^{liupnankaimath@163.com" class="auth_mail" title="E-mail the corresponding author} ; Chunsheng Zhang^c ; ^{zhangcs@nankai.edu.cn" class="auth_mail" title="E-mail the corresponding author} ; Lanpeng Ji^b ; ^d ; ^{jilanpeng@126.com" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Perturbed classical risk model ; Joint density ; Time to ruin ; Number of claims until ruin ; The Lundberg fundamental equation ; Martingale
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：120
• 期：Complete
• 页码：28-33
• 全文大小：403 K

文摘

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.