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On the Ruin Probability Under a Class of Risk Processes1

Published online by Cambridge University Press:  29 August 2014

Wang Rongming  and
Liu Haifeng
Wang Rongming
Affiliation:
Department of Statistics, East China Normal University, 3663 Zhongshan Road (northern), Shanghai 200062, P.R., China
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Abstract

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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.

Keywords

Sparre Andersen risk modelFinite time ruin probabilityLaplace transform
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 32 , Issue 1 , May 2002 , pp. 81 - 90
Copyright
Copyright © International Actuarial Association 2002

Footnotes

1

The work was partially supported by Fudan-Swiss Reinsurance Research Foundation (2001.6-2002.6).

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