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Ruin probabilities and decompositions for general perturbed risk processes

Miljenko Huzak·Mihael Perman·Hrvoje Sikic·Zoran Vondracek
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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 Levy 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.

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Miljenko Huzak, Mihael Perman, Hrvoje Sikic, Zoran Vondracek. 2004-07-08. Ruin probabilities and decompositions for general perturbed risk processes. https://doi.org/10.1214/105051604000000332

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