Ruin probabilities and decompositions for general perturbed risk processes

Details Ruin probabilities and decompositions for general perturbed risk processes Ruin probabilities and decompositions for general perturbed risk processes

2004-07-08

arxiv.org/abs/math/0407125v1

Annals of Probability 2004, Vol. 14, No. 3, 1378-1397

Mathematics

Probability

Scientific paper

10.1214/105051604000000332

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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