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  1. 1 Michna Z.

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RUIN PROBABILITY ON A FINITE TIME HORIZON (Prawdopodobienstwo ruiny

100%
Michna Z.
Mathematical Economics
|
2010
|
issue 6(13)
65-74
EN
In this article we investigate the classical risk process. We derive a formula for the ruin probability on a finite time horizon for zero initial capital that is Cramer's formula and for an arbitrary initial capital that is Seal's formula. Applying these formulas and the approximation of a gamma process by compound Poisson processes we obtain a formula for the supremum distribution of a gamma process with a linear drift.
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