Title :
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
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;
Conference_Titel :
Apperceiving Computing and Intelligence Analysis (ICACIA), 2010 International Conference on
Conference_Location :
Chengdu
Print_ISBN :
978-1-4244-8025-8
DOI :
10.1109/ICACIA.2010.5709858
