Martingale Analysis of the Reinsurance Risk Model and its Ruin Probability

摘要：

This paper introduces a concept — reinsurance. The existed model is extended to a reinsurance compound Poisson risk model with interference. The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.

关键词： martingale analysis risk model reinsurance ruin probability

作者: Fanliang Kong Xiangbing Kong

作者单位: Department of Mathematics, Harbin University of Science and Technology, Harbin 150080, P.R.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: 5-8

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）