2015Journal of Yanan UniversityRequires access

Boundary of Ruin Probability and Expectation of the Ruin Time in Conditional Poisson Risk Model

Zhang Li-l

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Abstract

We generalized the classical risk model and used a conditional poisson process to describe the claim arrival,by constructing a submartingale,based on the assumption that the surplus is zero when ruin,we gave a lower bound of ruin probability and the upper bound of the expectation of ruin time on the conditional poisson risk model,in the case of the dividend,we gave the lower bound of the ruin probability when the dividend line was a linear case.

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What this paper is about

We generalized the classical risk model and used a conditional poisson process to describe the claim arrival,by constructing a submartingale,based on the assumption that the surplus is zero when ruin,we gave a lower bound of ruin probability and the upper bound of the expectation of ruin time on the conditional poisson risk model,in the case of the dividend,we gave the lower bound of the ruin probability when the dividend line was a linear case.

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Available abstract

We generalized the classical risk model and used a conditional poisson process to describe the claim arrival,by constructing a submartingale,based on the assumption that the surplus is zero when ruin,we gave a lower bound of ruin probability and the upper bound of the expectation of ruin time on the conditional poisson risk model,in the case of the dividend,we gave the lower bound of the ruin probability when the dividend line was a linear case.

Key concepts: Ruin theory, Mathematics, First-hitting-time model, Poisson distribution, Dividend, Risk model, Upper and lower bounds, Conditional probability

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