| Autor: |
Jing-min He, Rong Wu, Hua-yue Zhang |
| Zdroj: |
Acta Mathematicae Applicatae Sinica; Jan2008, Vol. 24 Issue 1, p117-128, 12p |
| Abstrakt: |
Abstract In this paper we mainly study the ruin probability of a surplus process described by a piecewise deterministic Markov process (PDMP). An integro-differential equation for the ruin probability is derived. Under a certain assumption, it can be transformed into the ruin probability of a risk process whose premiums depend on the current reserves. Using the same argument as that in Asmussen and Nielsen[2], the ruin probability and its upper bounds are obtained. Finally, we give an analytic expression for ruin probability and its upper bounds when the claim-size is exponentially distributed. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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