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RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR
Published online by Cambridge University Press: 22 January 2004
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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