DocumentCode
2969094
Title
Finite time ruin probability for non-standard Poisson model with different interest rates
Author
Jiang, Tao ; Wen, Liyan
Author_Institution
Sch. of Finance, Zhejiang Gongshang Univ., Hangzhou, China
fYear
2009
fDate
8-11 Dec. 2009
Firstpage
1776
Lastpage
1779
Abstract
In this paper, the finite-time ruin probability with different interest rates for non-standard Poisson model is considered. Under the assumptions that the claim-arrival process is non-standard Poisson process, i.e. nonhomogenous and conditional Poisson process, and the claimsize is subexponentially distributed, some simple asymptotic formulae of ruin probability within finite horizon are derived. The results we obtained extended the corresponding conclusion of related references for ordinary Poisson risk model.
Keywords
economic indicators; stochastic processes; claim arrival process; conditional Poisson process; finite time ruin probability; interest rates; nonhomogenous Poisson process; nonstandard Poisson model; Distribution functions; Economic indicators; Electronic mail; Finance; Insurance; Random variables; different interest rates; non-standard Poisson process; ruin probability; subexponential class;
fLanguage
English
Publisher
ieee
Conference_Titel
Industrial Engineering and Engineering Management, 2009. IEEM 2009. IEEE International Conference on
Conference_Location
Hong Kong
Print_ISBN
978-1-4244-4869-2
Electronic_ISBN
978-1-4244-4870-8
Type
conf
DOI
10.1109/IEEM.2009.5373165
Filename
5373165
Link To Document