engleski

Intersections of ruin probabilities with respect to the initial surplus

In this paper we study intersections of ruin probability functions with respect to the initial surplus for two risk models. The insurance company could use one model with smaller probability of ruin up to the intersection and then change to the other model in order to minimize the probability of ruin.

risk process; spectrally negative Levy process; ruin probability; scale function; Mittag-Leffler function

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