The Finite Time Ruin Probability of a New Risk Model Based on Entrance Process |
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Authors: | Hong Min Xiao Ze Hui Li |
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Institution: | 1. College of Mathematics and Information Science , Northwest Normal University , Gansu , PR China;2. School of Mathematics and Statistics , Lanzhou University , Gansu , PR China |
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Abstract: | In this article, we consider a new insurance risk model based on the entrance process proposed in 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 – 10 .Crossref], Web of Science ®] , Google Scholar]), and investigate the finite time ruin probabilities of this model. It is showed that an exponential upper bound for the finite time ruin probability exists, when the distributions of the claim size are light tailed. Furthermore, when the distributions of the claim size are heavy tailed, an asymptotic formula for the finite time ruin probability is obtained. |
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Keywords: | Insurance risk process Long-tailed and light-tailed distributions Non homogeneous Poisson process Ruin probability Subexponential distributions |
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