Guo Dong-lin
Abstract
The ruin probability for Erlang(2) risk model with investment and interference is considered in this paper.Firstly,the stationary increment properties of profit process is obtained.Secondly,using the martingale method,the explicit expression and an upper bound estimation of ruin probability are derived.
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The ruin probability for Erlang(2) risk model with investment and interference is considered in this paper.Firstly,the stationary increment properties of profit process is obtained.Secondly,using the martingale method,the explicit expression and an upper bound estimation of ruin probability are derived.
Key concepts: Erlang (programming language), Ruin theory, Risk model, Erlang distribution, Martingale (probability theory), Mathematics, Risk process, Upper and lower bounds