Applications of a change of measures technique for compound mixed renewal processes to the ruin problem

Abstract

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

• Compound mixed renewal process
• change of measures
• progressively equivalent measures
• regular conditional probabilities
• ruin probability
• 60G55