Chinese Quarterly Journal of Mathematics ›› 2011, Vol. 26 ›› Issue (2): 239-244.

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Ruin Probability of One Kind of Entrance Processes Based Insurance Risk Models 

  

  1. 1. College of Mathematics and Information Science, Northwest Normal University2. College of Science, Nanjing University of Posts and Telecommunications

  • Received:2007-11-28 Online:2011-06-30 Published:2023-05-04
  • About author:XIAO Hong-min(1967-), female, native of Lintao, Gansu, an associate professor of Northwest Normal University, Ph.D., engages in applied stochastic processes and insurance mathmatics; TANG Jia-shan(1968 ), male, native of Tianchang, Anhui, a professor of Nanjing University of Posts and Telecommunications, Ph.D., engages in probability theory, applied stochastic processes, queneing system and signal and information processing.
  • Supported by:
    Supported by the Grant to Supervisors of Postgraduates with Universities in Gansu Province(1001-10);

Abstract: In this note, one kind of insurance risk models with the policies having multiple validity times are investigated. Explicit expressions for the ruin probabilities are obtained by using the martingale method. As a consequence, the obtained probability serves as an upper bound for the ruin probability of a newly developed entrance processes based risk model.

Key words: insurance risk model, entrance process, ruin probability, upper bound, martingale  method

CLC Number: