Abstract
This paper considers the ruin probability under
a threshold insurance risk model. We assume that the claim
size of an insurance business depends on the claim time. The
integro-differential equations satisfied by the ruin probability
are derived. A Lundberg type upper bound for the ruin probability is obtained. In some special cases, closed form solutions
for the ruin probability are obtained. Some numerical examples are included.
a threshold insurance risk model. We assume that the claim
size of an insurance business depends on the claim time. The
integro-differential equations satisfied by the ruin probability
are derived. A Lundberg type upper bound for the ruin probability is obtained. In some special cases, closed form solutions
for the ruin probability are obtained. Some numerical examples are included.
| Original language | English |
|---|---|
| Pages (from-to) | 41-49 |
| Journal | BELGIAN ACTUARIAL BULLETIN |
| Volume | 7 |
| Issue number | 1 |
| Publication status | Published - 2007 |
| Externally published | Yes |