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Article Contents

# Ruin probability for renewal risk model with negative risk sums

• In this paper, we consider a renewal risk process with negative risk sums. We derive integral equations and integro-differential equations for the survival and ruin probabilities for the proposed model. Exact expression and upper and lower bounds for the ruin probability are obtained. We also present some closed form expressions for the survival and ruin probabilities under some certain choices of the claim amount distribution and the distribution of the inter-occurrence time of the claims.
Mathematics Subject Classification: 62P05; 60K05.

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