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2002•Astin BulletinOpen access

On the Ruin Probability Under a Class of Risk Processes

Wang Rongming, Liu Haifeng

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Abstract

Abstract In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the finite time ruin probability is well given when the claim amount distribution is a mixed exponential. As its consequence, a well-known result about ultimate ruin probability in the classical risk model is obtained.

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Abstract In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the finite time ruin probability is well given when the claim amount distribution is a mixed exponential. As its consequence, a well-known result about ultimate ruin probability in the classical risk model is obtained.

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Available abstract

Abstract In this paper a class of risk processes in which claims occur as a renewal process is studied. A clear expression for Laplace transform of the finite time ruin probability is well given when the claim amount distribution is a mixed exponential. As its consequence, a well-known result about ultimate ruin probability in the classical risk model is obtained.

Key concepts: Ruin theory, Laplace transform, Class (philosophy), Mathematics, Risk model, First-hitting-time model, Exponential function, Renewal theory

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