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THE NON-RUIN PROBABILITY FOR THE RISK RESERVE PROCESS WITH EXPONENTIAL TYPE CLAIMS
- Source :
- Taiwanese J. Math. 13, no. 4 (2009), 1343-1352
- Publication Year :
- 2009
- Publisher :
- The Mathematical Society of the Republic of China, 2009.
-
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.
Details
- ISSN :
- 10275487
- Volume :
- 13
- Database :
- OpenAIRE
- Journal :
- Taiwanese Journal of Mathematics
- Accession number :
- edsair.doi.dedup.....2eeeaddbefb537544f06b4c09a99017a