DocumentCode
2072315
Title
Ruin Probability of Stop-Loss Reinsurance with Diffusion Term
Author
Jiang, Tao ; Zang, Wu
Author_Institution
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
fYear
2009
fDate
20-22 Sept. 2009
Firstpage
1
Lastpage
5
Abstract
This paper researches ruin probabilities of insurance companies with reinsurance business. Under the assumptions that the diffusion term is considered and that claimsize is exponential distribution, the relationship between deductible and ruin is obtained. The survival probability is derived on the corresponding insurance and reinsurance company. The results extend Gerber´s corresponding results for classical risk model.
Keywords
commerce; exponential distribution; insurance; deductible cap; diffusion term; exponential distribution; insurance company; ruin probability; stop-loss reinsurance business; Companies; Containers; Exponential distribution; Finance; Insurance; Integral equations; Random variables; Safety; Terminology;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-4638-4
Electronic_ISBN
978-1-4244-4639-1
Type
conf
DOI
10.1109/ICMSS.2009.5301011
Filename
5301011
Link To Document