Acta mathematica scientia, Series B >
CALCULATIONS OF RUIN PROBABILITIES CONCERNING WITH CLAIM OCCURRENCES
Received date: 2007-12-10
Revised date: 2008-09-17
Online published: 2010-05-20
Supported by
This work was supported by National Basic Research Program of China (973 Program, 2007CB814905) and the Natural Science
Foundation of China (10871102)
In this article, we consider the perturbed classical surplus model. We study the probability that ruin occurs at each instant of claims, the probability that ruin occurs between two consecutive claims occurrences, as well as the distribution of the ruin time that lies in between two consecutive claims. We give some finite expressions depending on derivatives for Laplace transforms, which can allow computation of the probabilities concerning with claim occurrences. Further, we present some insight on the shapes of probability functions involved.
WANG Shan-Shan , ZHANG Chun-Sheng , WU Rong . CALCULATIONS OF RUIN PROBABILITIES CONCERNING WITH CLAIM OCCURRENCES[J]. Acta mathematica scientia, Series B, 2010 , 30(3) : 919 -931 . DOI: 10.1016/S0252-9602(10)60089-6
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