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

Sung Nok Chiu*, Chuan Cun Yin

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

5 Citations (Scopus)
11 Downloads (Pure)

Abstract

This paper investigates the first 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 first exit time from an interval satisfies an integro-differential equation. The exact solution for the classical model and for the Embrechts-Schmidli model are derived.

Original languageEnglish
Pages (from-to)417-424
Number of pages8
JournalStatistics and Probability Letters
Volume60
Issue number4
Early online date17 Oct 2002
DOIs
Publication statusPublished - Dec 2002

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • First exit time
  • Ruin time
  • Ruin probability
  • Risk reserve process
  • Embrechts–Schmidli model

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