Generalization of Dicksons Formula in the Continuous-time Compound Binomial Risk Model

摘要：

We consider the ruin problems under Liu et al. (2005)s continuous-time compound binomial risk model. By application of martingale and duality we generalize Dickson (1992)s formula in the continuous-time compound binomial risk model, which reveals the relationship between the probability of the surplus immediately prior to ruin by conditioning on initial surplus.

关键词： Ruin theory Continuous-time compound binomial risk model Dicksons formula Surplus immediately prior to ruin Martingales

作者: Guo Lu Han Li-yan Liu Guo-xin

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

会议类型: 国际会议

会议名称: The 1st International Conference on Risk Analysis and Crisis Response(首届风险分析与危机反应国际学术研讨会)

会议地点: 上海

会议语种:英文

页码: 405-410

在线出版日期: 2007-09-25（万方平台首次上网日期，不代表论文的发表时间）