Survival probability and ruin probability of a risk model

被引：2
|
作者：
Luo Jian-hua [1 ,2 ]
机构：
[1] Cent S Univ Forestry & Technol, Coll Sci, Changsha 410004, Hunan, Peoples R China
[2] Cent S Univ Forestry & Technol, Inst Stat, Changsha 410004, Hunan, Peoples R China
来源：
APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2008年 / 23卷 / 03期
关键词：
risk model; thinning process; survival probability; martingale; ruin probability; integral representation;
D O I：
10.1007/s11766-008-1916-z
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, a new risk model is studied in which the rate of premium income is regarded as a random variable, the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process. The integral representations of the survival probability are gotten. The explicit formula of the survival probability on the infinite interval is obtained in the special case-exponential distribution. The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.
引用
收藏
页码：256 / 264
页数：9
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