Ruin probabilities and decompositions for general perturbed risk processes

Authors
Huzak, Miljenko Perman, Mihael .iki., Hrvoje Vondra.ek, Zoran
Citation
Huzak, Miljenko et al., Ruin probabilities and decompositions for general perturbed risk processes, Annals of applied probability , 14(3), 2004, pp. 1378-1397
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
14
Issue
3
Year of publication
2004
Pages
1378 - 1397
Database
ACNP
SICI code
Abstract
We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Lévy 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.