Ruin probabilities and decompositions for general perturbed risk processes
成果类型：
Article
署名作者：
Huzak, M; Perman, M; Sikic, H; Vondracek, Z
署名单位：
University of Zagreb; University of Ljubljana
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/105051604000000332
发表日期：
2004
页码：
1378-1397
关键词：
摘要：
We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy 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.
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