Acta mathematica scientia,Series B ›› 2003, Vol. 23 ›› Issue (1): 53-60.

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EXPLICIT EXPRESSIONS FOR SOME DISTRIBUTIONS RELATED TO RUIN PROBLEMS

 DANG Lan-Fen, YANG Li-Ming   

  1. Department of Physics, Suzhou University, Suzhou 215006, China College of Fundamental Science, China Agricultural University, Beijing 100094, China
  • Online:2003-01-06 Published:2003-01-06

Abstract:

The classical risk process that is perturbed by diffusion is studied. The explicit expressions for the ruin probability and the surplus distribution of the risk process at the time of ruin are obtained when the claim amount distribution is a finite mixture of exponential distributions or a Gamma (2, ) distribution.

Key words: Ruin probability, surplus distribution at the time of ruin, finite mixture of exponential distributions, Gamma distribution

CLC Number: 

  • 60G25
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