Title :
Some results of ruin probability in a generalized renewal risk model
Author :
Luo Xuan ; Cui Guozhong
Author_Institution :
Inf. Eng. Univ., Zhengzhou, China
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;
Conference_Titel :
Control Conference (CCC), 2010 29th Chinese
Conference_Location :
Beijing
Print_ISBN :
978-1-4244-6263-6
