This question is generally about ruin and the prob. of ruin at first claim. For the Sept. 2007 question, the second part asked for the prob. of ruin on first claim. If anyone could help with the conditioning part of the answer, I would greatly appreciate it. I think what's bothering me is the fact that the Sep. 2005 ques. was solved the same way that the first part of the Sep. 2007 ques. was solved, but they were asking for two different things. The Sep 2005 ques. asked for the prob. of ruin at first claim, while the first part of the the Sep. 2007 ques. asked for Prob. that the first claim causes ruin if it occurs at time t. Thanks much.
S05 Q1 (which was a copy of A97 Q8) has claims which are fixed. So the only unknown is the time that the claim occured. Hence we just do a probability for that. S07 Q5 (which was a copy of S99 Q5) has exponential claims. So this has 2 unknowns: the size of the claim and the time the claim occured. Hence we have an extra step. Does that hit the mark?
