Generalization of Dickson's Formula in the Continuous-time Compound Binomial Risk Model

摘要

We consider the ruin problems under Liu et al. (2005)'s continuous-time compound binomial risk model. By application of martingale and duality we generalize Dickson (1992)'s formula in the continuous-time compound binomial risk model, which reveals the relationship between the probability of the surplus immediately prior to ruin by conditioning on initial surplus.