Geodesic
A markovian variant of Lundberg--Cramer's model of insurance company ruin
Vestnik Sankt-Peterburgskogo universiteta. Prikladnaâ matematika, informatika, processy upravleniâ, no. 1 (2012), pp. 27-32

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The model permits to compute $P(u)$ unruin probability of an insurance company with an initial capital $u$. Beforehand some auxiliary values must be found as a solution of a system of integral equations. The Laplase transform is used for this purpose. Some unknown constants appears in this case. It is shown, how to find this constants. There are some numerical examples.
Keywords: Markovian variant of the Lundber's model, ruin probability, unknown constants of the transform.
Mots-clés : Laplase transform 
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     title = {A markovian variant of {Lundberg--Cramer's} model of insurance company ruin},
     journal = {Vestnik Sankt-Peterburgskogo universiteta. Prikladna\^a matematika, informatika, processy upravleni\^a},
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V. N. Igolkin. A markovian variant of Lundberg--Cramer's model of insurance company ruin. Vestnik Sankt-Peterburgskogo universiteta. Prikladnaâ matematika, informatika, processy upravleniâ, no. 1 (2012), pp. 27-32. http://geodesic.mathdoc.fr/item/VSPUI_2012_1_a3/