Acta mathematica scientia,Series B ›› 2010, Vol. 30 ›› Issue (3): 919-931.doi: 10.1016/S0252-9602(10)60089-6

• Articles • Previous Articles     Next Articles

CALCULATIONS OF RUIN PROBABILITIES CONCERNING WITH CLAIM OCCURRENCES

 WANG Shan-Shan, ZHANG Chun-Sheng, WU Rong   

  1. School of Mathematical Sciences and LPMC, Nankai |University, Tianjin 300071, China
  • Received:2007-12-10 Revised:2008-09-17 Online:2010-05-20 Published:2010-05-20
  • Supported by:

    This work was supported by National Basic Research Program of China (973 Program, 2007CB814905) and the Natural Science
    Foundation of China (10871102)

Abstract:

In this article, we consider the perturbed classical surplus model. We study the probability that ruin occurs at each instant of claims, the probability that ruin occurs between two consecutive claims occurrences, as well as the distribution of the ruin time that lies in between two consecutive claims. We give some finite expressions depending on derivatives for Laplace transforms, which can allow computation of the probabilities concerning with claim occurrences. Further, we present some insight on the shapes of probability functions involved.

Key words: Probability of ruin, the perturbed classical surplus model, Oscillation, recursive calculation

CLC Number: 

  • 60J25
Trendmd