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A note on the ruin problem for a class of stochastic processes with interchangeable increments

Published online by Cambridge University Press:  29 August 2014

Jan Grandell  and
Lars Peiram
Jan Grandell
Affiliation:
University of Stockholm
Lars Peiram
Affiliation:
University of Stockholm
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Summary

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Models for the risk business of an insurance company are often constructed by weighting pure Poisson models. In this paper it is verified that it is possible to calculate the probability of ruin in such weighted models by weighting ruin probabilities of pure Poisson models.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 7 , Issue 1 , December 1972 , pp. 81 - 89
Copyright
Copyright © International Actuarial Association 1972

References

REFERENCES

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