The Finite Time Ruin Probability of a New Risk Model Based on Entrance Process

被引：7

作者：

Xiao, Hong Min ^{[1
]}

Li, Ze Hui ^{[2
]}

Liu, Wei Wei ^{[3
]}

机构：

[1] NW Normal Univ, Coll Math & Informat Sci, Lanzhou, Gansu, Peoples R China

[2] Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Gansu, Peoples R China

[3] Chinese Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2013年 / 42卷 / 02期

关键词：

Insurance risk process; Long-tailed and light-tailed distributions; Non homogeneous Poisson process; Ruin probability; Subexponential distributions; 91B30; 60G70;

D O I：

10.1080/03610926.2011.581783

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we consider a new insurance risk model based on the entrance process proposed in Li et al. (2005), and investigate the finite time ruin probabilities of this model. It is showed that an exponential upper bound for the finite time ruin probability exists, when the distributions of the claim size are light tailed. Furthermore, when the distributions of the claim size are heavy tailed, an asymptotic formula for the finite time ruin probability is obtained.

引用

页码：336 / 345

页数：10

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