Mathematical Economics, 2010, Nr 6 (13), s. 65-74
In this article we investigate the classical risk process. We derive a formula for the ruin probability on a finite time horizon for zero initial capital that is Cramér’s formula and for an arbitrary initial capital that is Seal’s formula. Applying these formulas and the approximation of a gamma process by compound Poisson processes we obtain a formula for the supremum distribution of a gamma process with a linear drift.
Oct 17, 2019
Oct 12, 2016
|Ruin probability on a finite time horizon||Oct 17, 2019|
Bombała, Wojciech Michna, Zbigniew
Michna, Zbigniew Nielsen, Izabela Ewa Nielsen, Peter