Absolute ruin probability of a multi-type-insurance risk model

被引：0
|
作者：
Xue, Chen [1 ]
机构：
[1] Shandong Univ, Sch Math, Jinan 250100, Peoples R China
来源：
INTERNATIONAL JOURNAL OF APPLIED MATHEMATICS & STATISTICS | 2015年 / 53卷 / 01期
关键词：
multi-type-insurance; ruin; absolute ruin; martingale;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Due to continuous expansion of business scope and scale in insurance companies, single-type-insurance risk model becomes more limited for risk process. This paper has established a multi-type-insurance risk model, studied the absolute ruin probability of the model, and provided the explicit expression of the absolute ruin probability.
引用
收藏
页码：74 / 81
页数：8
相关论文
共 50 条
  • [21] Ruin probability in linear time series model
    Zhang, Lihong
    Tsinghua Science and Technology, 2005, 10 (02) : 259 - 264
  • [22] Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model
    Raluca Vernic
    Fuzzy Optimization and Decision Making, 2016, 15 : 195 - 217
  • [23] Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model
    Vernic, Raluca
    FUZZY OPTIMIZATION AND DECISION MAKING, 2016, 15 (02) : 195 - 217
  • [24] Minimizing the probability of absolute ruin under the mean-variance premium principle
    Han, Xia
    Liang, Zhibin
    Yuen, Kam C.
    OPTIMAL CONTROL APPLICATIONS & METHODS, 2021, 42 (03) : 786 - 806
  • [25] Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
    Peng, Dan
    Liu, Donghai
    Hou, Zhenting
    ADVANCES IN DIFFERENCE EQUATIONS, 2016,
  • [26] Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
    Dan Peng
    Donghai Liu
    Zhenting Hou
    Advances in Difference Equations, 2016
  • [27] Conditional Ruin Probability with a Markov Regime Switching Model
    Liu, Xuanhui
    Cui, Li-Ai
    Ren, Fangguo
    NONLINEAR MATHEMATICS FOR UNCERTAINTY AND ITS APPLICATIONS, 2011, 100 : 295 - +
  • [28] On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
    Jun Cai
    Hailiang Yang
    Annals of Operations Research, 2014, 212 : 61 - 77
  • [29] On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
    Cai, Jun
    Yang, Hailiang
    ANNALS OF OPERATIONS RESEARCH, 2014, 212 (01) : 61 - 77
  • [30] Discounted penalty function at Parisian ruin for Levy insurance risk process
    Loeffen, R.
    Palmowski, Z.
    Surya, B. A.
    INSURANCE MATHEMATICS & ECONOMICS, 2018, 83 : 190 - 197
12345