2010•Chinese Control ConferenceRequires access
Some results of ruin probability in a generalized renewal risk model
Xuan Luo, Guozhong Cui
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Abstract
A renewal risk model is discussed under the conditions that the premium arrival process is stationary flow without aftereffect. The surplus at claims occurrence times is homogeneous Markov chain. The series expansion and the integral equation of several important ruin probabilities and distributions in the risk theory: the ruin probability in finite time,the ultimate ruin probability, the distribution of the ruin time, the distribution of surplus immediately before ruin and the deficit at ruin are proposed.