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The Single Type of Insurance Risk Model of a Variable Ruin Limit

Hu Hua

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Abstract

In this paper,for the single type of insurance risk model of a variable ruin limit perturbed by a Brown motion,the generalized inequality of the ruin probabilities is obtained by Martingale techniques.Finally,the formula and Lundberg inequality of the ruin probability for transformed into classical compound Poisson risk model in special condition is given.

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What this paper is about

In this paper,for the single type of insurance risk model of a variable ruin limit perturbed by a Brown motion,the generalized inequality of the ruin probabilities is obtained by Martingale techniques.Finally,the formula and Lundberg inequality of the ruin probability for transformed into classical compound Poisson risk model in special condition is given.

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Available abstract

In this paper,for the single type of insurance risk model of a variable ruin limit perturbed by a Brown motion,the generalized inequality of the ruin probabilities is obtained by Martingale techniques.Finally,the formula and Lundberg inequality of the ruin probability for transformed into classical compound Poisson risk model in special condition is given.

Key concepts: Ruin theory, Mathematics, Martingale (probability theory), Risk model, Limit (mathematics), Poisson distribution, Type (biology), Random variable

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