In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic r...In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic risk measure for the compound Poisson process and a deviation inequality for the ruin probability of the partly shifted risk process.展开更多
In this note,one kind of insurance risk models with the policies having multiple validity times are investigated.Explicit expressions for the ruin probabilities are obtained by using the martingale method.As a consequ...In this note,one kind of insurance risk models with the policies having multiple validity times are investigated.Explicit expressions for the ruin probabilities are obtained by using the martingale method.As a consequence,the obtained probability serves as an upper bound for the ruin probability of a newly developed entrance processes based risk model.展开更多
In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is co...In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.展开更多
In this paper, a new risk model is studied in which the rate of premium income is regarded as a random variable, the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning ...In this paper, a new risk model is studied in which the rate of premium income is regarded as a random variable, the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process. The integral representations of the survival probability are gotten. The explicit formula of the survival probability on the infinite interval is obtained in the special casc cxponential distribution.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.展开更多
基金Supported by National Natural Science Foundation of China(11301461)Natural Science Foundation of Jiangsu Province(BK20130435)University Natural Science Foundation of Jiangsu Province(13KJB110031)
文摘In this article, we construct an exponential martingale for the compound Poisson process with latent variable. With the help of this exponential martingale, we provide an asymptotic behavior of the coherent entropic risk measure for the compound Poisson process and a deviation inequality for the ruin probability of the partly shifted risk process.
基金Supported by the Grant to Supervisors of Postgraduates with Universities in Gansu Province(1001-10)
文摘In this note,one kind of insurance risk models with the policies having multiple validity times are investigated.Explicit expressions for the ruin probabilities are obtained by using the martingale method.As a consequence,the obtained probability serves as an upper bound for the ruin probability of a newly developed entrance processes based risk model.
文摘In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.
文摘In this paper, a new risk model is studied in which the rate of premium income is regarded as a random variable, the arrival of insurance policies is a Poisson process and the process of claim occurring is p-thinning process. The integral representations of the survival probability are gotten. The explicit formula of the survival probability on the infinite interval is obtained in the special casc cxponential distribution.The Lundberg inequality and the common formula of the ruin probability are gotten in terms of some techniques from martingale theory.
