Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
arXiv:2007.09266
Abstract
In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis & Macheras [24], is applied to the ruin problem in order to compute the ruin probability and to find upper and lower bounds for it.
arXiv commentarXiv admin note: substantial text overlap with arXiv:2007.05289, arXiv:2007.09051