Abstract
In this paper, we consider the risk reserve process with claims. In order to have the non-ruin probability in finite time, we use the skeleton process studied by T.Mikosch. Furthermore, we find a general formula that derives the non-ruin probability for the model in which the claim inter-arrival time has an exponential distribution and the claim size has an exponential distribution with distinct rate.
Citation
Ayumi Kishikawa. Makoto Doi. "THE NON-RUIN PROBABILITY FOR THE RISK RESERVE PROCESS WITH EXPONENTIAL TYPE CLAIMS." Taiwanese J. Math. 13 (4) 1343 - 1352, 2009. https://doi.org/10.11650/twjm/1500405512
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