Ruin probability in a kind of dual risk model with a threshold

Author

Chen, Xing ; Xiao, Guang-qiang

Author_Institution

Dept. of Found. Studies, LEU, Chongqing, China

fYear

2010

fDate

17-19 Dec. 2010

Firstpage

93

Lastpage

96

Abstract

This paper considers the ruin probability of a kind of dual risk model with a threshold. We assume that the expenses with a constant rate c ,and the aggregate positive gains is a compound process. Besides, the gain size depends on the inter-arrival time. The integro-differential equations satisfied by the ruin probability are derived. The adjustment coefficient and Lundberg´s inequality can be gotten by similar argument as in the case of the classical model. Ruin probability with some special income size distribution is discussed.

Keywords

finance; integro-differential equations; probability; risk management; Lundberg inequality; adjustment coefficient; aggregate positive gain; gain size; income size distribution; integro-differential equation; interarrival time; ruin probability; threshold dual risk model; Biological system modeling; Companies; Economics; Equations; Insurance; Integral equations; Mathematical model; exponential positive gain distribution; integral-differential equations; ruin probability; threshold dual risk model;

fLanguage

English

Publisher

ieee

Conference_Titel

Apperceiving Computing and Intelligence Analysis (ICACIA), 2010 International Conference on

Conference_Location

Chengdu

Print_ISBN

978-1-4244-8025-8

Type

conf

DOI

10.1109/ICACIA.2010.5709858

Filename

5709858