Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
Spyridon M. Tzaninis
TL;DR
This paper applies a change of measures technique to compound mixed renewal processes to analyze the ruin probability, providing methods to compute and bound this probability.
Contribution
It extends the change of measures approach to the ruin problem for compound mixed renewal processes, offering new computational tools and bounds.
Findings
Derived formulas for ruin probability using change of measures
Established upper and lower bounds for ruin probability
Demonstrated applicability to specific risk models
Abstract
In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis & Macheras [24], is applied to the ruin problem in order to compute the ruin probability and to find upper and lower bounds for it.
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Taxonomy
TopicsProbability and Risk Models · Statistical Distribution Estimation and Applications · Financial Risk and Volatility Modeling