Risks (Aug 2017)

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

  • Dimitrina S. Dimitrova,
  • Zvetan G. Ignatov,
  • Vladimir K. Kaishev

DOI
https://doi.org/10.3390/risks5030043
Journal volume & issue
Vol. 5, no. 3
p. 43

Abstract

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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.

Keywords