EXACT NON-RUIN PROBABILITIES IN INFINITE TIME

VASILY CHERNECKY

Theory of Stochastic Processes Vol. 12 (28), no. 3–4, 2006, pp. 20–25

Using the Wiener-Hopf method, for the fundamental equation of the risk theory it is obtained an exact solution in terms of the Fourier transforms and factorization.

Full version