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Ruin probabilities of a surplus process described by PDMPs

Ruin probabilities of a surplus process described by PDMPs 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Ruin probabilities of a surplus process described by PDMPs

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Publisher
Springer Journals
Copyright
Copyright © 2008 by Springer-Verlag
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-006-6137-8
Publisher site
See Article on Publisher Site

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.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Mar 13, 2008

References