Some Results of Ruin Probability in a Generalized Renewal Risk Model

被引：0

作者：

Luo Xuan ^{[1
]}

Cui Guozhong ^{[1
]}

机构：

[1] Informat Engn Univ, Zhengzhou 450001, Peoples R China

来源：

PROCEEDINGS OF THE 29TH CHINESE CONTROL CONFERENCE | 2010年

关键词：

Renewal Risk Model; Stationary Flow Without Aftereffect; Markov Chain; Ruin Probability; Integral Equation;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A renewal risk model is discussed under the conditions that the premium arrival process is stationary flow without aftereffect. The surplus at claims occurrence times is homogeneous Markov chain. The series expansion and the integral equation of several important ruin probabilities and distributions in the risk theory: the ruin probability in finite time, the ultimate ruin probability, the distribution of the ruin time, the distribution of surplus immediately before ruin and the deficit at ruin are proposed.

引用

页码：5579 / 5583

页数：5

共 9 条

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[7] Rolski T., 1999, WILEY PROB STAT
[8] Sparre Andersen E, COLLECTIVE THEORY RI
[9] Yang H.L., 1998, SCANDINAVIAN ACTUARI, V1, P66

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