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A Note on the Unity Expression of Ruin Probabilities in the Classical Risk Theory(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2010年01期
Page:
28-31
Research Field:
数学
Publishing date:

Info

Title:
A Note on the Unity Expression of Ruin Probabilities in the Classical Risk Theory
Author(s):
Dai Feng1; Ma Shujian1; Wang Xiaoqian2
1.College of Sciences,Nanjing University of Technology,Nanjing 210009,China 2. School of Mathem atical Sciences, Nan jing Normal University, Nan jing 210097, China
Keywords:
ruin probability;  classica l risk theo ry;  fin ite tim e;  unity expression
PACS:
F224;F840
DOI:
-
Abstract:
In th is paper the gene ra l un ity expression of nonru in probab ilities in a fin ite tim e is g iven whether the c la im am ount random variab les have any d iscrete jo in t d istribution or continuous joint distribution.

References:

[ 1] Ignatov Z G, Ka ishev V K J. Two- sided bounds for the finite tim e ruin probab ility[ J] . Scand A ctuar ial J, 2000( 1): 46-62.
[ 2] Ignatov Z G, K aishev V K J, Rossen S K rachunov. An im proved finite- tim e ru in probab ility form ula and its m athem atica imp lementation Insurance[ J] . M athem atics and Econom ics, 2001, 29( 3) : 375-386.
[ 3] Ph ilippe P icard, C laude Lefevre. M ultir isks mode l and fin ite-tim e ruin probab ilities[ J]. M ethodology and C om puting in App lied Probability, 2003( 3): 337-353.
[ 4] Ignatov Z G, Ka ishev V K J. A fin ite- tim e ru in probab ility form ula for con tinous c la im sever ities[ J]. App l Prob, 2004( 3): 570-578.
[ 5] Ka rlin S V K, Tay lorH M. A Second Course in S to chastic Pro cesses[M ]. N ew York: A cadem ic Press, 1987.

Memo

Memo:
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Last Update: 2013-04-08