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Ruin Probability for a Risk Process with Positive and Negative Risk Sums

Ang G

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Abstract

In this paper,we consider a risk process with positive and negative risk sums.We derive the integral-differential equation for the ruin probability.We obtain the exponential inequality for the ruin probability.We study how the dependence between the two classes of insurance business impacts on the ruin probability.Finally we give two examples to show the numerical results.

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What this paper is about

In this paper,we consider a risk process with positive and negative risk sums.We derive the integral-differential equation for the ruin probability.We obtain the exponential inequality for the ruin probability.We study how the dependence between the two classes of insurance business impacts on the ruin probability.Finally we give two examples to show the numerical results.

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Available abstract

In this paper,we consider a risk process with positive and negative risk sums.We derive the integral-differential equation for the ruin probability.We obtain the exponential inequality for the ruin probability.We study how the dependence between the two classes of insurance business impacts on the ruin probability.Finally we give two examples to show the numerical results.

Key concepts: Risk process, Mathematics, Ruin theory, Risk model, Exponential function, Differential (mechanical device), Inequality, Statistics

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