DocumentCode
2915692
Title
Some results about ruin theory in the continuous-time
Author
Lu, Guo ; Guoxin, Liu ; Liyan, Han
Author_Institution
Beihang Univ., Beijing
fYear
2007
fDate
18-20 Nov. 2007
Firstpage
1533
Lastpage
1537
Abstract
We consider the ruin problems under Liu et al. (2005)´s continuous-time compound binomial risk model. Firstly we construct a martingale by a piecewise deterministic Markov processes (PDMP). Secondly, by application of martingale, we get some results about ruin theory and continuous-time compound binomial risk model is generalized by discounting with respect to the time of ruin. It is interesting that the limiting case of all results is the ones in the compound Poisson risk model.
Keywords
Markov processes; binomial distribution; insurance; risk management; compound Poisson risk model; continuous-time compound binomial risk model; insurance company; martingale construction; piecewise deterministic Markov process; risk management; ruin theory; Aggregates; Insurance; Intelligent systems; Markov processes; Power generation economics; Probability; Random variables; Risk analysis; Risk management; Solid modeling;
fLanguage
English
Publisher
ieee
Conference_Titel
Grey Systems and Intelligent Services, 2007. GSIS 2007. IEEE International Conference on
Conference_Location
Nanjing
Print_ISBN
978-1-4244-1294-5
Electronic_ISBN
978-1-4244-1294-5
Type
conf
DOI
10.1109/GSIS.2007.4443529
Filename
4443529
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