A note on ruin problems in perturbed classical risk models

作者：Liu Peng; Zhang Chunsheng; Ji Lanpeng^*

来源：Statistics & Probability Letters, 2017, 120: 28-33.

DOI：10.1016/j.spl.2016.09.013

• Perturbed classical risk model
• Joint density
• Time to ruin
• Number of claims until ruin
• The Lundberg fundamental equation
• Martingale

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.

• 出版日期2017-1
• 单位南开大学