DocumentCode
2099589
Title
Some results of ruin probability in a generalized renewal risk model
Author
Luo Xuan ; Cui Guozhong
Author_Institution
Inf. Eng. Univ., Zhengzhou, China
fYear
2010
fDate
29-31 July 2010
Firstpage
5579
Lastpage
5583
Abstract
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.
Keywords
Markov processes; insurance; integral equations; risk analysis; statistical distributions; claims occurrence time; generalized renewal risk model; homogeneous Markov chain; integral equation; premium arrival process; risk theory; ruin probability; ruin time distribution; series expansion; surplus distribution; Artificial neural networks; Electronic mail; Integral equations; Joints; Markov processes; Mathematical model; Integral Equation; Markov Chain; Renewal Risk Model; Ruin Probability; Stationary Flow Without Aftereffect;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (CCC), 2010 29th Chinese
Conference_Location
Beijing
Print_ISBN
978-1-4244-6263-6
Type
conf
Filename
5573135
Link To Document