ON THE RUIN PROBABILITY UNDER A CLASS OF RISK PROCESSES 1

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. KEYWORDS Sparre Andersen risk model, Finite time ruin probability, Laplace transform

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