arXiv subjects

Chunsheng Zhang

Publications and source records attributed to Chunsheng Zhang.

2 recordsLinked to original sources

arXiv2017

Number of claims and ruin time for a refracted risk process

In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time. The proof is based on solving some integro-differential equations and employing the Lagrange's Expansion Theorem.

math.PR↗

arXiv2016

A note on ruin problems in perturbed classical risk models

In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.

math.PR↗