Title :
Ruin Probability of Stop-Loss Reinsurance with Diffusion Term
Author :
Jiang, Tao ; Zang, Wu
Author_Institution :
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
Abstract :
This paper researches ruin probabilities of insurance companies with reinsurance business. Under the assumptions that the diffusion term is considered and that claimsize is exponential distribution, the relationship between deductible and ruin is obtained. The survival probability is derived on the corresponding insurance and reinsurance company. The results extend Gerber´s corresponding results for classical risk model.
Keywords :
commerce; exponential distribution; insurance; deductible cap; diffusion term; exponential distribution; insurance company; ruin probability; stop-loss reinsurance business; Companies; Containers; Exponential distribution; Finance; Insurance; Integral equations; Random variables; Safety; Terminology;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5301011