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2004•Probability in the Engineering and Informational SciencesRequires access

RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR

Kai Wang Ng, Hailiang Yang, Lihong Zhang

Open publisher page 6 citations

Abstract

In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.

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What this paper is about

In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.

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OpenAlex reports 6 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.

Key concepts: Poisson distribution, Ruin theory, Compound Poisson process, Zero-inflated model, Mathematics, Compound Poisson distribution, Discounting, Poisson process

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