Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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RUIN PROBABILITIES IN THE RISK MODEL WITH TWO COMPOUND BINOMIAL PROCESSES

  • Zhang, Mao-Jun (Department of economics, Dalian University of technology) ;
  • Nan, Jiang-Xia (Department of mathematics, Information and engineering college, Dalian University) ;
  • Wang, Sen (Department of mathematics, Information and engineering college, Dalian University)
  • Published : 2008.01.30
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Abstract

In this paper, we consider an insurance risk model governed by a compound Binomial arrival claim process and by a compound Binomial arrival premium process. Some formulas for the probabilities of ruin and the distribution of ruin time are given, we also prove the integral equation of the ultimate ruin probability and obtain the Lundberg inequality by the discrete martingale approach.

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