ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

被引：1
|
作者：
Ying, Fang [1 ,2 ,3 ]
Rong, Wu [1 ,2 ]
机构：
[1] Nankai Univ, Dept Math, Tianjin 300071, Peoples R China
[2] Nankai Univ, LPMC, Tianjin 300071, Peoples R China
[3] Shangdong Normal Univ, Dept Math, Jinan 250014, Peoples R China
来源：
ACTA MATHEMATICA SCIENTIA | 2010年 / 30卷 / 05期
关键词：
Gerber-Shiu discounted penalty function; ruin probability; dividend; interest; DISCOUNTED PENALTY-FUNCTION; SPARRE-ANDERSEN MODEL; RUIN; TIME;
D O I：
10.1016/S0252-9602(10)60166-X
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes.
引用
收藏
页码：1730 / 1738
页数：9
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