Some Results about Ruin Theory in the Continuous-time

摘要：

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.

作者: Guo Lu Liu Guoxin Han Liyan

作者单位: Beihang University, Beijing, 100083 China Hebei University of Technology, Tianjin, 300130 China School of Economics and Management, Beihang University, Beijing, 100083 China

会议类型: 国际会议

会议名称: 2007年IEEE灰色系统与智能服务国际会议(2007 IEEE International Conference on Grey Systems and Intelligent Services)

会议地点: 南京

会议语种:英文

在线出版日期: 2007-11-18（万方平台首次上网日期，不代表论文的发表时间）