Ruin Probability in a Class of Stationary Renewal Model

摘要：

Considering a stationary risk process for which the claim inter-arrival distribution is Erlang(2), we get the ultimate ruin probability by using the Sparre Andersen risk model. In particular, we also get the explicit solution of ultimate ruin probability in the case where the individual claim amount distribution is exponential. Finally, we calculate the ruin probability of a concrete example and analyse the variety of ruin probability affected by initial reserve and gross risk premium rate.

关键词： Sparre Andersen risk model ruin probability Erlang distribution

作者: Luo Xuan

作者单位: Institute of Information Engineering, zhengzhou 450002, China

会议类型: 国际会议

会议名称: 2010 International Conference on Application of Mathematics and Physics(2010国际数理科学与气象学术研讨会暨2010空间天气学研讨会 AMP2010)

会议地点: 南京

会议语种:英文

页码: 672-677

在线出版日期: 2010-05-08（万方平台首次上网日期，不代表论文的发表时间）