Upper Bounds for the Ruin Probabilities of the Entrance-Based Risk Model |
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| Authors: | Feng Chen Jinxia Zhu Zehui Li |
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| Institution: | 1. Department of Statistics and Actuarial Science , The University of Hong Kong , Hong Kong , China fengchen@hkusua.hku.hk;3. Department of Statistics and Actuarial Science , The University of Hong Kong , Hong Kong , China;4. School of Mathematics and Statistics , Lanzhou University , Lanzhou , China |
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| Abstract: | Li et al. (2005
Li , Z. ,
Zhu , J. ,
Chen , F. ( 2005 ). Study of a risk model based on the entrance process . Statist. Probab. Lett. 72 ( 1 ): 1 – 10 .Crossref], Web of Science ®] , Google Scholar]) proposed a risk model based on the entrance process and studied the asymptotic behavior of the surplus when time goes to infinity. This article considers the ruin problem in that model. Some simple characteristics (stochastic intensity, compensator, mean process, etc.) of the risk process and other related processes are also considered. Under small claim condition, exponential upper bounds for the ruin probability are obtained. |
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| Keywords: | Compensator Entrance process Insurance risk model Martingale Ruin probability Stochastic intensity |
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