The ruin probability of the compound negative binomial risk model with a completely stochastic premium

被引：0

作者：

Xia, Ya-feng ^{[1
]}

Zhou, Xiao-xing ^{[1
]}

Su, Tian-en ^{[1
]}

机构：

[1] Lanzhou Univ Tech, Sch Sci, Lanzhou 730050, Peoples R China

来源：

Proceedings of the Second International Conference on Game Theory and Applications | 2007年

关键词：

negative binomial distribution; risk models; ruin probability; martingale; optional sampling theorem;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Based on the compound negative binomial risk model, this paper attempts to construct a compound negative binomial risk model with a completely stochastic premium where the premium of every policy and the number of insure charges at per unit time are random variables. Applying discrete martingale theory, the paper explores some properties of a compound negative binomial risk model with a completely stochastic premium. Consequently, it proves the formula of ultimate ruin probability and the Lundberg inequality.

引用

页码：214 / 218

页数：5

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