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RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR

Published online by Cambridge University Press:  22 January 2004

Kai W. Ng ,
Hailiang Yang  and
Lihong Zhang
Kai W. Ng
Affiliation:
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, E-mail: [email protected]
Hailiang Yang
Affiliation:
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, E-mail: [email protected]
Lihong Zhang
Affiliation:
Department of Finance, Tsinghua University, Beijing, People's Republic of China
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Abstract

In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 18 , Issue 1 , January 2004 , pp. 55 - 70
Copyright
© 2004 Cambridge University Press

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References

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