Ruin probability under compound Poisson models with random discount factor

被引：5

作者：

Ng, KW

Yang, HL

Zhang, LH

机构：

[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

[2] Tsing Hua Univ, Dept Finance, Beijing 100084, Peoples R China

来源：

PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES | 2004年 / 18卷 / 01期

关键词：

D O I：

10.1017/S0269964804181047

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.

引用

页码：55 / 70

页数：16

共 15 条

[1]

Aczel J., 1989, FUNCTIONAL EQUATIONS

[2]

ASMUSSEN S, 2000, RUIIN PROBABILITIES

[3] UPPERBOUNDS ON RUIN PROBABILITIES IN CASE OF NEGATIVE LOADINGS AND POSITIVE INTEREST-RATES [J].