Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
Open Access
- 23 December 2021
- journal article
- research article
- Published by VTeX in Modern Stochastics: Theory and Applications
- Vol. 9 (1), 45-64
- https://doi.org/10.15559/21-vmsta192
Abstract
Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: Applications of a change of measures technique for compound mixed renewal processes to the ruin problem, Authors: Spyridon M. Tzaninis , In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis and Macheras [ArXiv:2007.05289 (2020) 1–25], is applied to the ruin problem in order to obtain an explicit formula for the probability of ruin in a mixed renewal risk model and to find upper and lower bounds for it.Keywords
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