A note on ruin problems in perturbed classical risk models

DOI10.1016/j.spl.2016.09.013zbMath1463.91033arXiv1608.05514OpenAlexW2964138422WikidataQ61308213 ScholiaQ61308213MaRDI QIDQ342741

Lanpeng Ji, Peng Liu, Chun-sheng Zhang

Publication date: 18 November 2016

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

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

zbMATH Keywords

martingaletime to ruinjoint densitynumber of claims until ruinperturbed classical risk modelthe Lundberg fundamental equation

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

Related Items (2)

On the distribution of classic and some exotic ruin times ⋮ The expected discounted penalty function: from infinite time to finite time

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