Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force

Journal of inequalities and applications

Jianhua Cheng¹ 

关键词: perturbed risk model;    constant interest force;    ruin probability;    upper bound;    asymptotic formula;    60P05;    60H10;   

DOI  :  10.1186/s13660-016-1135-8

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic formula for the finite-time ruin probability when the claim size is heavy-tailed. We show that the model in our paper has similar results to the classical risk process and some existing generalized models.

【 授权许可】

CC BY