Ruin probabilities and decompositions for general perturbed risk processes
Huzak, Miljenko ; Perman, Mihael ; Šikić, Hrvoje ; Vondraček, Zoran
Ann. Appl. Probab., Tome 14 (2004) no. 1, p. 1378-1397 / Harvested from Project Euclid
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We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Lévy process with zero expectation. We derive a Pollaczek–Hinchin type formula for the survival probability of that risk process, and give an interpretation of the formula based on the decomposition of the dual risk process at modified ladder epochs.
Publié le : 2004-08-14
Classification:  Risk theory,  ruin probability,  Pollaczek–Hinchin formula,  subordinator,  spectrally negative Lévy process,  60J25,  60G51,  60J75,  60K30,  91B30 
@article{1089736289,
     author = {Huzak, Miljenko and Perman, Mihael and \v Siki\'c, Hrvoje and Vondra\v cek, Zoran},
     title = {Ruin probabilities and decompositions for general perturbed risk processes},
     journal = {Ann. Appl. Probab.},
     volume = {14},
     number = {1},
     year = {2004},
     pages = { 1378-1397},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1089736289}
}

Huzak, Miljenko; Perman, Mihael; Šikić, Hrvoje; Vondraček, Zoran. Ruin probabilities and decompositions for general perturbed risk processes. Ann. Appl. Probab., Tome 14 (2004) no. 1, pp.  1378-1397. http://gdmltest.u-ga.fr/item/1089736289/