Ӧ�ø���ͳ�� 2009, 25(4) 337-344 DOI:      ISSN: 1001-4268 CN: 31-1256

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ժҪ�� ���Ľ��������ģ�͵�ӯ������ƹ�Ϊһ����L\'evy������һ����L\'evy���̵IJ�,
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A Generalization of the Classical Risk Model
Zhao Yongxia,Yin Chuancun
Department of Mathematics, Qufu Normal University
Abstract: In this paper, we extend the classical risk process
to the process, which is a spectrally negative L\'evy process minus
a subordinator. Then some results of the ruin probability are
derived in terms of properties of L\'evy process and some techniques
from martingale theory. Finally, we derive some properties of
hitting time and a Pollaczek-Khinchin type formula of the survival
probability for a spectrally negative L\'evy process.
Keywords: L\'evy process   ruin probability   survival probability   martingale   hitting time.  
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