On the Ruin Probability Under a Class of Risk Processes

Wang Rongming, Liu Haifeng
2002 ASTIN Bulletin: The Journal of the International Actuarial Association  
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.
doi:10.2143/ast.32.1.1016 fatcat:mugkipvvtnbnhk5nnvh6mwtcqa