Abstract
In this article, we consider a compound Poisson insurance risk model with a random
discount factor+ This model is also known as the compound filtered Poisson model+
By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds
for the ruin probability are obtained.
discount factor+ This model is also known as the compound filtered Poisson model+
By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds
for the ruin probability are obtained.
| Original language | English |
|---|---|
| Pages (from-to) | 55-70 |
| Journal | Probability in the Engineering and Informational Sciences |
| Volume | 18 |
| Issue number | 1 |
| Publication status | Published - 2004 |
| Externally published | Yes |