ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

被引：1

作者：

Ying, Fang ^{[1
,2
,3
]}

Rong, Wu ^{[1
,2
]}

机构：

[1] Nankai Univ, Dept Math, Tianjin 300071, Peoples R China

[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

[3] Shangdong Normal Univ, Dept Math, Jinan 250014, Peoples R China

来源：

ACTA MATHEMATICA SCIENTIA | 2010年 / 30卷 / 05期

关键词：

Gerber-Shiu discounted penalty function; ruin probability; dividend; interest; DISCOUNTED PENALTY-FUNCTION; SPARRE-ANDERSEN MODEL; RUIN; TIME;

D O I：

10.1016/S0252-9602(10)60166-X

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes.

引用

页码：1730 / 1738

页数：9

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