The Finite Time Ruin Probability of a New Risk Model Based on Entrance Process

被引：7
|
作者：
Xiao, Hong Min [1 ]
Li, Ze Hui [2 ]
Liu, Wei Wei [3 ]
机构：
[1] NW Normal Univ, Coll Math & Informat Sci, Lanzhou, Gansu, Peoples R China
[2] Lanzhou Univ, Sch Math & Stat, Lanzhou 730000, Gansu, Peoples R China
[3] Chinese Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2013年 / 42卷 / 02期
关键词：
Insurance risk process; Long-tailed and light-tailed distributions; Non homogeneous Poisson process; Ruin probability; Subexponential distributions; 91B30; 60G70;
D O I：
10.1080/03610926.2011.581783
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this article, we consider a new insurance risk model based on the entrance process proposed in Li et al. (2005), and investigate the finite time ruin probabilities of this model. It is showed that an exponential upper bound for the finite time ruin probability exists, when the distributions of the claim size are light tailed. Furthermore, when the distributions of the claim size are heavy tailed, an asymptotic formula for the finite time ruin probability is obtained.
引用
收藏
页码：336 / 345
页数：10
相关论文
共 50 条
  • [21] Uniform Asymptotics for Finite-time Ruin Probability in a Dependent Risk Model with General Stochastic Investment Return Process
    Yang, Yang
    Yuen, Kam Chuen
    Liu, Jun-feng
    ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2021, 37 (04): : 847 - 857
  • [22] Uniform Asymptotics for Finite-time Ruin Probability in a Dependent Risk Model with General Stochastic Investment Return Process
    Yang Yang
    Kam Chuen Yuen
    Jun-feng Liu
    Acta Mathematicae Applicatae Sinica, English Series, 2021, 37 : 847 - 857
  • [23] A Markovian risk model with finite states and its ruin probability
    Fang Dafan
    ADVANCES IN MANAGEMENT OF TECHNOLOGY, PROCEEDINGS, 2007, : 117 - 121
  • [24] Probability of ruin in a discrete-time risk model
    Picard, P
    Lefèvre, C
    JOURNAL OF APPLIED PROBABILITY, 2003, 40 (03) : 543 - 556
  • [25] Approximations of the ruin probability in a discrete time risk model
    Santana, David J.
    Rincon, Luis
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (03): : 221 - 243
  • [26] Estimates for the Finite-Time Ruin Probability of a Time-Dependent Risk Model with a Brownian Perturbation
    Wang, Kaiyong
    Cui, Yongfang
    Mao, Yanzhu
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2020, 2020
  • [27] Asymptotic behavior of the finite time ruin probability of a gamma levy process
    Michna, Zbigniew
    Weron, Aleksander
    ACTA PHYSICA POLONICA B, 2007, 38 (05): : 1881 - 1889
  • [28] BOUNDS FOR THE RUIN PROBABILITY OF A DISCRETE-TIME RISK PROCESS
    Diasparra, Maikol A.
    Romera, Rosario
    JOURNAL OF APPLIED PROBABILITY, 2009, 46 (01) : 99 - 112
  • [29] Research on Ruin Probability of Risk Model Based on AR(1) Time Series
    Wenhao Li
    Bolong Wang
    Tianxiang Shen
    Ronghua Zhu
    Dehui Wang
    Communications in Mathematical Research, 2020, 36 (04) : 390 - 402
  • [30] FINITE-HORIZON RUIN PROBABILITY ASYMPTOTICS IN THE COMPOUND DISCRETE-TIME RISK MODEL
    Leipus, Remigijus
    Siaulys, Jonas
    LITHUANIAN MATHEMATICAL JOURNAL, 2011, 51 (02) : 207 - 219
12345