Classical risk model
= Classical risk model
{title2=$U_t=u+ct-\sum_{j=1}^{N_t}X_j$}
= Cramér–Lundberg model
{c}
{synonym}
The classical risk model has surplus $U_t=u+ct-\sum_{j=1}^{N_t}X_j$, where $N_t$ is a <Poisson process> of rate $\lambda$, independent claim sizes are positive, and premiums flow in at constant rate $c$. The <relative safety loading> is $\rho=c/(\lambda\mathbb EX_1)-1$. Ruin is the first time surplus becomes negative.