Ruin Probability in a Threshold Insurance Risk Model

K. M. Kwan; Hailiang Yang

Ruin Probability in a Threshold Insurance Risk Model

K. M. Kwan
, Hailiang Yang^*

^*Corresponding author for this work

The University of Hong Kong

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	41-49
Journal	BELGIAN ACTUARIAL BULLETIN
Volume	7
Issue number	1
Publication status	Published - 2007
Externally published	Yes

Cite this

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AB - 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.

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JO - BELGIAN ACTUARIAL BULLETIN

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Ruin Probability in a Threshold Insurance Risk Model

Abstract

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