The Ruin Probability for Compound Poisson Risk Model with a Two-step Premium Rate

摘要：

The paper studies the classical compound Poisson risk model with a two-step premium rate. In this model, no dividends are paid if the insurers surplus below certain threshold level. When the surplus is above this threshold level, dividends are paid at a constant rate. In this paper, we firstly derive and solve an integro-differential equation for the Gerber-Shiu discounted penalty function, then use this result to obtain the expressions of ruin probability.

关键词： Compound Poisson risk model ruin probability Gerber-Shiu discounted function Integro-differential equation two-step premium

作者: Xuesi Ma Ming Li

作者单位: School of Mathematics and Information Science, Henan polytechnic university, Jiaozuo 454000, China

会议类型: 国际会议

会议名称: 2010 International Conference on Probability and Statistics of the International Institute for General Systems Studies(国际一般系统理论研究会中国概率统计学会第二届学术会议IIGSS-CPS2010)

会议地点: 南京

会议语种:英文

页码: 122-126

在线出版日期: 2010-07-29（万方平台首次上网日期，不代表论文的发表时间）