Original scientific paper

Intersections of two ruin probability functions

Tatjana Slijepčević-Manger ; Faculty of Civil Engineering, University of Zagreb, Zagreb, Croatia

Abstract

In this paper we study intersections of ruin probability functions for two risk models.The number of intersection points is determined for some of the most widely used models. It is also shown that there
exist risk processes with ruin probability functions intersecting in an arbitrary large number of points.

Keywords

risk process; spectrally negative Lévy process; ruin probability; scale function; Mittag-Leffler function

Hrčak ID:

68615

URI

https://hrcak.srce.hr/68615

Publication date:

10.6.2011.

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