In this paper, we extend the classical compound binomial risk model to the case where the premium income process is based on a Poisson process, and is no longer a linear function. For this more realistic risk model, L...In this paper, we extend the classical compound binomial risk model to the case where the premium income process is based on a Poisson process, and is no longer a linear function. For this more realistic risk model, Lundberg type limiting results for the finite time ruin probabilities are derived. Asymptotic behavior of the tail probabilities of the claim surplus process is also investigated.展开更多
A recursive formula of the Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims is obtained. In the discount-free case, an explicit formula is given. Utilizing such an explicit exp...A recursive formula of the Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims is obtained. In the discount-free case, an explicit formula is given. Utilizing such an explicit expression, we derive some useful insurance quantities, including the ruin probability, the density of the deficit at ruin, the joint density of the surplus immediately before ruin and the deficit at ruin, and the density of the claim causing ruin.展开更多
基金Supported in part by the National Natural Science Foundation of China and the Ministry of Education of China
文摘In this paper, we extend the classical compound binomial risk model to the case where the premium income process is based on a Poisson process, and is no longer a linear function. For this more realistic risk model, Lundberg type limiting results for the finite time ruin probabilities are derived. Asymptotic behavior of the tail probabilities of the claim surplus process is also investigated.
基金Supported by the Research Fund for the Doctoral Program of Higher Education of China(No.20110031120003)
文摘A recursive formula of the Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims is obtained. In the discount-free case, an explicit formula is given. Utilizing such an explicit expression, we derive some useful insurance quantities, including the ruin probability, the density of the deficit at ruin, the joint density of the surplus immediately before ruin and the deficit at ruin, and the density of the claim causing ruin.
