2007•Science Technology and EngineeringRequires access
On the Ruin Functions for Two Classes of Risk Processes
Xiangzeng Liu
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Abstract
The ruin functions for a risk model involving two classes of insurance risks are considered.When the claim number processes are Erlang(2)processes,the formulae are derived for the distribution of the surplus immediately before ruin,for the distribution of the surplus immediately after ruin and the joint distribution of the surplus immediately before and after ruin.The asymptotic properties of these ruin functions are also investigated.