Liu, P, Zhang, C and Ji, L (2017) A note on ruin problems in perturbed classical risk models. Statistics & Probability Letters, 120. C. pp. 28-33. ISSN 0167-7152
Abstract
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2016 Elsevier B.V. This is an author produced version of a paper published in Statistics and Probability Letters. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Perturbed classical risk model; Joint density; Time to ruin; Number of claims until ruin; The Lundberg fundamental equation; Martingale |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 21 Nov 2018 11:04 |
Last Modified: | 21 Nov 2018 11:10 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.spl.2016.09.013 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:138932 |