Acta mathematica scientia,Series B ›› 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

 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).

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

CLC Number: 

  • 60J75
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