Title :
Some results about ruin theory in the continuous-time
Author :
Lu, Guo ; Guoxin, Liu ; Liyan, Han
Author_Institution :
Beihang Univ., Beijing
Abstract :
We consider the ruin problems under Liu et al. (2005)´s continuous-time compound binomial risk model. Firstly we construct a martingale by a piecewise deterministic Markov processes (PDMP). Secondly, by application of martingale, we get some results about ruin theory and continuous-time compound binomial risk model is generalized by discounting with respect to the time of ruin. It is interesting that the limiting case of all results is the ones in the compound Poisson risk model.
Keywords :
Markov processes; binomial distribution; insurance; risk management; compound Poisson risk model; continuous-time compound binomial risk model; insurance company; martingale construction; piecewise deterministic Markov process; risk management; ruin theory; Aggregates; Insurance; Intelligent systems; Markov processes; Power generation economics; Probability; Random variables; Risk analysis; Risk management; Solid modeling;
Conference_Titel :
Grey Systems and Intelligent Services, 2007. GSIS 2007. IEEE International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4244-1294-5
Electronic_ISBN :
978-1-4244-1294-5
DOI :
10.1109/GSIS.2007.4443529
