On the joint distribution of ruin time and number of the payment leaded to the nonhomogeneous risk process

O. P. Vinogradov

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

Abstract: The paper finds a joint distribution of the ruin time and a number of the payment which leads to a ruin in a nonhomogeneous risk process.

Keywords: nonhomogeneous risk process, ruin probability, ruin time.

Received: 18.03.2002
Revised: 14.10.2005

DOI: 10.4213/tvp34

 English version: Theory of Probability and its Applications, 2007, 51:3, 504–512

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