In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time. The proof is based on solving some integro-differential equations and employing the Lagrange's Expansion Theorem.
CITATION STYLE
Li, Y., Palmowski, Z., Zhao, C., & Zhang, C. (2019). Number of Claims and Ruin Time for a Refracted Risk Process (pp. 559–578). https://doi.org/10.1007/978-3-030-04161-8_49
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