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The first exit time and ruin time for a risk process with reserve-dependent income

✍ Scribed by Sung Nok Chiu; Chuan Cun Yin

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
120 KB
Volume
60
Category
Article
ISSN
0167-7152

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✦ Synopsis

This paper investigates the ÿrst exit time and the ruin time of a risk reserve process with reserve-dependent income under the assumption that the claims arrive as a Poisson process. We show that the Laplace transform of the distribution of the ÿrst exit time from an interval satisÿes an integro-di erential equation. The exact solution for the classical model and for the Embrechts-Schmidli model are derived.

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