数学物理学报(英文版) ›› 2010, Vol. 30 ›› Issue (5): 1730-1738.doi: 10.1016/S0252-9602(10)60166-X

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ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

房莹1, 2|吴荣1   

  1. 1. Department of Mathematics and LPMC, Nankai University, Tianjin 300071, China

    2. Department of Mathematics, Shangdong Normal University, Jinan 250014, China
  • 收稿日期:2007-10-19 修回日期:2009-04-11 出版日期:2010-09-20 发布日期:2010-09-20
  • 基金资助:

    Supported by NSFC (10926161).

ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

 FANG Ying1, 2, WU Rong1   

  1. 1. Department of Mathematics and LPMC, Nankai University, Tianjin 300071, China

    2. Department of Mathematics, Shangdong Normal University, Jinan 250014, China
  • Received:2007-10-19 Revised:2009-04-11 Online:2010-09-20 Published:2010-09-20
  • Supported by:

    Supported by NSFC (10926161).

摘要:

We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes.

关键词: Gerber-Shiu discounted penalty function, ruin probability, dividend, interest

Abstract:

We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes.

Key words: Gerber-Shiu discounted penalty function, ruin probability, dividend, interest

中图分类号: 

  • 60J75