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Ruin probability of an insurancecompany in the case where intervals between paymentshave unequal exponential distributions

O. P. Vinogradov

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: This paper considers the problem of finding the ruin probability of an insurance company in the case where intervals between payments have unequal exponential distributions and values of payments have identical exponential distributions. As particular cases we consider those where the values of payments are unequally distributed and have Erlang distributions, and also those where the expiration times are order statistics of a sample from the exponential distribution. The results obtained can be applied in the queueing theory.

Keywords: risk theory, queueing theory, ruin probability, two-index sequence.

Received: 22.03.1997

DOI: 10.4213/tvp1470

 English version: Theory of Probability and its Applications, 1999, 43:2, 337–342

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