A Note for the Probabilities of Ruin with Differentiabilities
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Abstract
In this paper. the Differentiabilities on the probability functions of ruin of the classical risk model and the compound Poisson model that is perturbed by diffusion are discussed and some misunderstanding on differen- tiability are cleared up. In addition some errors in the proofs of Embrechts and Schmidli (1994) on complete monotonicity and absolute continuity are corrected.
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