ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

doi:10.1016/S0252-9602(10)60166-X

数学物理学报(英文版) ›› 2010, Vol. 30 ›› Issue (5): 1730-1738.doi: 10.1016/S0252-9602(10)60166-X

ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

房莹^{1, 2}|吴荣¹

1. Department of Mathematics and LPMC, Nankai University, Tianjin 300071, China

2. Department of Mathematics, Shangdong Normal University, Jinan 250014, China

收稿日期:2007-10-19 修回日期:2009-04-11 出版日期:2010-09-20 发布日期:2010-09-20
基金资助:
Supported by NSFC (10926161).

ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

FANG Ying^{1, 2}, WU Rong¹

1. Department of Mathematics and LPMC, Nankai University, Tianjin 300071, China

2. Department of Mathematics, Shangdong Normal University, Jinan 250014, China

Received:2007-10-19 Revised:2009-04-11 Online:2010-09-20 Published:2010-09-20
Supported by:
Supported by NSFC (10926161).

摘要/Abstract

摘要：

We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes.

关键词: Gerber-Shiu discounted penalty function, ruin probability, dividend, interest

Abstract:

Key words: Gerber-Shiu discounted penalty function, ruin probability, dividend, interest

中图分类号:

60J75

房莹, 吴荣. ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND[J]. 数学物理学报(英文版), 2010, 30(5): 1730-1738.

FANG Ying, WU Rong. ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND[J]. Acta mathematica scientia,Series B, 2010, 30(5): 1730-1738.

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ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

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