Year: 2016
Author: Dehui Wang, Jiaxing Gao, Zili Xu, Jinjing Xu, Xuli Zhang
Communications in Mathematical Research , Vol. 32 (2016), Iss. 3 : pp. 241–248
Abstract
In this paper, we study a class of ruin problems, in which premiums and claims are dependent. Under the assumption that premium income is a stochastic process, we raise the model that premiums and claims are dependent, give its numerical characteristics and the ruin probability of the individual risk model in the surplus process. In addition, we promote the number of insurance policies to a Poisson process with parameter $λ$, using martingale methods to obtain the upper bound of the ultimate ruin probability.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.13447/j.1674-5647.2016.03.06
Communications in Mathematical Research , Vol. 32 (2016), Iss. 3 : pp. 241–248
Published online: 2016-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 8
Keywords: ruin probability dependent structure individual risk model Poisson process.