On the First Crossing of Two Boundaries by an Order Statistics Risk Process

oleh: Dimitrina S. Dimitrova, Zvetan G. Ignatov, Vladimir K. Kaishev

Format: Article
Diterbitkan: MDPI AG 2017-08-01

Deskripsi

We derive a closed form expression for the probability that a non-decreasing, pure jump stochastic risk process with the order statistics (OS) property will not exit the strip between two non-decreasing, possibly discontinuous, time-dependent boundaries, within a finite time interval. The result yields new expressions for the ruin probability in the insurance and the dual risk models with dependence between the claim severities or capital gains respectively.