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math.PR2016
A note on ruin problems in perturbed classical risk models
Peng Liu, Chunsheng Zhang, Lanpeng Ji
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing…
math.PR2016
Number of claims and ruin time for a refracted risk process
Yanhong Li, Zbigniew Palmowski, Chunming Zhao +1
In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claim…