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The first exit time and ruin time for a risk process with reserve-dependent income

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  • Chiu, Sung Nok
  • Yin, Chuan Cun

Abstract

This paper investigates the first exit time and the ruin time of a risk reserve process with reserve-dependent income under the assumption that the claims arrive as a Poisson process. We show that the Laplace transform of the distribution of the first exit time from an interval satisfies an integro-differential equation. The exact solution for the classical model and for the Embrechts-Schmidli model are derived.

Suggested Citation

  • Chiu, Sung Nok & Yin, Chuan Cun, 2002. "The first exit time and ruin time for a risk process with reserve-dependent income," Statistics & Probability Letters, Elsevier, vol. 60(4), pages 417-424, December.
    • Handle: RePEc:eee:stapro:v:60:y:2002:i:4:p:417-424
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