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13.
Ruin probabilities for competing claim processes
Huzak, Miljenko ...
Naj bodo ▫$C_1,C_2,...,C_m$▫ neodvisni subordinatorji s končnimi upanji in vsoto ▫$C$▫. Naj ▫$X(t) = x + ct - C(t)$▫ klasični proces tveganja. Verjetnost propada je podana z Pollaczek-Khinchinovo ...formulo. Če pride do propada, bo tega povzročil eden ob subordinatorjev ▫$C_i$▫. V članku so izpeljane verjetnosti, da bo propad povzročil ▫$C_i$▫. Formule so posplošene na primer, ko je ▫$X(t) = x + ct - C(t) + Z(t)$▫, kjer je ▫$Z$▫ Lévyjev proces z matematičnim upanjem 0 in s samimi pozitivnimi skoki.
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