Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
Volume 9, Issue 1 (2022), pp. 45–64
Pub. online: 23 December 2021
Type: Research Article
Open Access
Open Access
Received
25 August 2021
25 August 2021
Revised
3 November 2021
3 November 2021
Accepted
3 November 2021
3 November 2021
Published
23 December 2021
23 December 2021
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.
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