Ruin probabilities expressed in terms of storage processes
- 1 December 1988
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 20 (4) , 913-916
- https://doi.org/10.2307/1427367
Abstract
It is shown by a simple sample path argument that the ruin probabilities for a risk reserve process with premium ratep(r) depending on the reserverand finite or infinite horizon are related in a simple way to the state probabilities of a compound Poisson dam with the same release ratep(r) at contentr.In the infinite horizon case, this result has been established by Harrison and Resnick (1978), and in the finite horizon case with constantpit extends well-known relations to theM/G/1 virtual waiting time.Keywords
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