title: The distribution of some extremum on the risk process whose income depend on the current reserve.
abstract: This paper considers the distribution of some extremum on the risk process whose income depend on the current reserve. We first construct the defective renewal sequence and obtain the density function of them. By the presented renewal measure and the strong Markov property, the distribution of the first hitting time is obtained explicitly. Then, the ruin probability and the probability that the surplus process less thanxis obtained. Furthermore, the distribution of supreme profits before ruin, the joint distributions of the supreme profit and the deficit before the time of the surplus process first up-crossing level zero after ruin, and the joint distributions of the supreme profit and the deficit before the surplus process leave zero ultimately are derived. Finally, the exact calculating results for them are obtained when the individual claim amounts in the compound Poisson risk model are exponentially distributed.
authors.affiliation: School of Science, Tianjin University of Technology, Tianjin, 300384 China.
authors.forename: Jingmin
authors.initials: J
authors.lastname: He
authors.affiliation: School of Mathematics and Statistics, Central South University, Changsha, 410083 Hunan China.
authors.forename: Zaiming
authors.initials: Z
authors.lastname: Liu
authors.affiliation: School of Mathematics and Statistics, Central South University, Changsha, 410083 Hunan China.
authors.forename: Wei
authors.initials: W
authors.lastname: Zhang
keywords: Ruin probability; Strong Markov property; Supreme profit and deficit; The time of ruin