• 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