Survival probability and ruin probability of a risk model

被引：0
作者：
LUO Jian-hua College of Science
Institute of Statistics
机构：
来源：
AppliedMathematics:AJournalofChineseUniversities(SeriesB) | 2008年 / 03期
关键词：
risk model; thinning process; survival probability; martingale; ruin probability; integral repre-sentation;
D O I：
暂无
中图分类号：
O211.67 [期望与预测];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper,a new risk model is studied in which the rate of premium income is regarded as a random variable,the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process.The integral representations of the survival probability are gotten.The explicit formula of the survival probability on the infinite interval is obtained in the special case-exponential distribution.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.
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页码：256 / 264
页数：9
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