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2006•Journal of Industrial and Management OptimizationRequires access

Ruin probability for renewal risk model with negative risk sums

Yinghui Dong, Guojing Wang

Open publisher page 9 citations

Abstract

In this paper, we consider a renewal risk process with negative risk sums. We derive integral equations and integro-differential equations for the survival and ruin probabilities for the proposed model. Exact expression and upper and lower bounds for the ruin probability are obtained. We also present some closed form expressions for the survival and ruin probabilities under some certain choices of the claim amount distribution and the distribution of the inter-occurrence time of the claims.

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What this paper is about

In this paper, we consider a renewal risk process with negative risk sums. We derive integral equations and integro-differential equations for the survival and ruin probabilities for the proposed model. Exact expression and upper and lower bounds for the ruin probability are obtained. We also present some closed form expressions for the survival and ruin probabilities under some certain choices of the claim amount distribution and the distribution of the inter-occurrence time of the claims.

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OpenAlex reports 9 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

In this paper, we consider a renewal risk process with negative risk sums. We derive integral equations and integro-differential equations for the survival and ruin probabilities for the proposed model. Exact expression and upper and lower bounds for the ruin probability are obtained. We also present some closed form expressions for the survival and ruin probabilities under some certain choices of the claim amount distribution and the distribution of the inter-occurrence time of the claims.

Key concepts: Ruin theory, Risk model, Mathematics, Renewal theory, Risk process, Expression (computer science), Applied mathematics, Distribution (mathematics)

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