ZHANG Chunsheng, WU Rong, . A Note for the Probabilities of Ruin with Differentiabilities[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(3): 267-275.
Citation: ZHANG Chunsheng, WU Rong, . A Note for the Probabilities of Ruin with Differentiabilities[J]. Chinese Journal of Applied Probability and Statistics, 2001, 17(3): 267-275.
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A Note for the Probabilities of Ruin with Differentiabilities

  • Department of Mathematics, Nankai University, Tianjin, 300071

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  • Received Date: October 10, 1999
  • Revised Date: February 27, 2000
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  • 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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