Author:
Huzak Miljenko,Perman Mihael,Šikić Hrvoje,Vondraček Zoran
Abstract
LetC1,C2,…,Cmbe independent subordinators with finite expectations and denote their sum byC. Consider the classical risk processX(t) =x+ct-C(t). The ruin probability is given by the well-known Pollaczek–Khinchin formula. If ruin occurs, however, it will be caused by a jump of one of the subordinatorsCi. Formulae for the probability that ruin is caused byCiare derived. These formulae can be extended to perturbed risk processes of the typeX(t) =x+ct-C(t) +Z(t), whereZis a Lévy process with mean 0 and no positive jumps.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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