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

Issue:

2009年01期

Page:

30-34

Research Field:

数学

Publishing date:

Info

Title:

Upper Bounds for Ruin Probability in the Double Compound Poisson Risk Model Under Constant Interest Force

Author(s):

Wei Guanghua¹; Gao Qibing²; ³

1.Department of Basic Courses,Jinling Institute of Technology,Nanjing 210001,China

Keywords:

double com pound Po isson r isk mode; l constant interest force;  m a rtinga le;  recursive;  ruin probability

PACS:

O211.67

DOI:

-

Abstract:

C lassica l Lundberg-C ram er risk m ode l and Fung and Luo’ s risk model are ex tended. The double compound Po isson risk m ode l unde r constant interest force is considered. The cla im number processes and insures prem ium incom e number processes are different hum ogenecus Po isson processes. Exponentia l type upper bounds are ob tained for the ult-i m ate ruin probab ility of th is risk m ode l by ma rtinga le and recursive techn iques.

References:

[ 1] Fang S Z, Luo JH. The double compound Po isson r isk m ode l[ J]. Pure and App liedM athem atics, 2006, 22( 2): 271-278.
[ 2] A sm ussen S. Ru in Probab ilities[M ]. Singapore: W o rld Scien tific, 2000.
[ 3] Ca i J, Dickson D CM. On the expected d iscounted pena lty function a t ruin of a surp lus process w ith in terest[ J]. Insurance:
M athem atics and Econom ics, 2002, 30( 3): 389-404.
[ 4] Palsen J, G jessingH K. Ruin theo ry w ith stochastic econom ic env ironm ent[ J]. Advances in Applied Probab ility, 1997, 29:
965-985.
[ 5] Ca i J, Yang H L. Ru in in the perturbed com pounded Po isson[ J] . Advances in App lied Probab ility, 2005, 37( 3 ): 819-
835.
[ 6] Sundt B, Teugels J L. Ru in estim a tes under in terest force[ J]. Insurance: M athem atics and Econom ics, 1995, 16( 1): 7-
22.
[ 7] Dam ien Lamberton, Berna rd Lapeyre. Introduc tion to Stochastic Ca lcu lus App lied to F inance[M ]. New York: CRC Press,
2000.

Memo

Memo:

-

Common functions

Last Update: 2013-04-23