Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force

Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force

Abstract In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic formula for the finite-time ruin probabili...

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Bibliographic Details
Main Authors: Jianhua Cheng, Yanwei Gao, Dehui Wang
Format: Article
Language:English
Published: SpringerOpen 2016-09-01
Series:Journal of Inequalities and Applications
Subjects:
perturbed risk model
constant interest force
ruin probability
upper bound
asymptotic formula
Online Access:http://link.springer.com/article/10.1186/s13660-016-1135-8
Description
Summary:Abstract In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic formula for the finite-time ruin probability when the claim size is heavy-tailed. We show that the model in our paper has similar results to the classical risk process and some existing generalized models.
ISSN:1029-242X

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