Μη ανανεωτικές στοχαστικές διαδικασίες πλεονάσματος στη θεωρία κινδύνου με δυο κλάσεις κινδύνων
Non-renewal stochastic surplus processes in ruin theory with two classes of claim
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Abstract
The study investigates stochastic surplus processes for risk portfolios with two independent sources of risk, examining various measures of default. Detailed results for computing the probability of default for such portfolios are provided through the expected discounted penalty function of Gerber-Shiu.