Analysis of ruin measures for two classes of risk processes with stochastic income

In this paper, we consider the ruin measures for two classes of risk processes. We assume that the claim number processes are independent Poisson and generalized Erlanginsert ignore into journalissuearticles values(n); processes, respectively. Historically, it has been assumed that the premium size is a constant. In this con tribution, the premium income arrival process is a Poisson process. In this framework, both the integro-differential equation and the Laplace transform for the expected discounted penalty function are established. Explicit expressions for the expected discounted penalty function are derived when the claim amount distributions belong to the rational family. Finally, numerical examples are considered.