2020
DOI: 10.48550/arxiv.2007.09266
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Applications of a change of measures technique for compound mixed renewal processes to the ruin problem

Spyridon M. Tzaninis1

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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