Survival probability and ruin probability of a risk model

DOI10.1007/s11766-008-1916-zzbMath1194.91096OpenAlexW2167710988MaRDI QIDQ1032779

Jianhua Luo

Publication date: 11 November 2009

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-008-1916-z

zbMATH Keywords

integral representationmartingaleruin probabilitysurvival probabilityrisk modelthinning process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Ruin probabilities for an insurance company based on some stochastic risk models

Cites Work

• Aspects of risk theory
• Ruin problem for a class of risk processes perturbed by diffusion
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