Survival probability and ruin probability of a risk model

被引：3

作者：

Luo Jian-hua ^{[1
,2
]}

机构：

[1] Cent S Univ Forestry & Technol, Coll Sci, Changsha 410004, Hunan, Peoples R China

[2] Cent S Univ Forestry & Technol, Inst Stat, Changsha 410004, Hunan, Peoples R China

来源：

APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2008年 / 23卷 / 03期

关键词：

risk model; thinning process; survival probability; martingale; ruin probability; integral representation;

D O I：

10.1007/s11766-008-1916-z

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

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.

引用

页码：256 / 264

页数：9

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